Hedge Fund Replication ?Revised in November 2008, forthcoming in The Recent Trend of Hedge Fund Strategies)
This chapter provides a comprehensive explanation of hedge fund replication. This chapter first reviews the characteristics of hedge fund returns. Then, the emergence of hedge fund replication products is discussed. Hedge fund replication methods are classified into three categories: Rule-based, Factor-based, and Distribution replicating approaches. These approaches attempt to capture di erent aspects of hedge fund returns. This chapter explains the three methods.
|Date of creation:||Sep 2008|
|Contact details of provider:|| Postal: Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033|
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- Takao Kobayashi & Seisho Sato & Akihiko Takahashi, 2005. "Style Analysis Based on a General State Space Model and Monte Carlo Filter," CIRJE F-Series CIRJE-F-337, CIRJE, Faculty of Economics, University of Tokyo.
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