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Hedge Fund Replication

Author

Listed:
  • Akihiko Takahashi

    (Faculty of Economics, University of Tokyo)

  • Kyo Yamamoto

    (Graduate School of Economics, University of Tokyo)

Abstract

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 different aspects of hedge fund returns. This chapter explains the three methods.

Suggested Citation

  • Akihiko Takahashi & Kyo Yamamoto, 2008. "Hedge Fund Replication," CIRJE F-Series CIRJE-F-592, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2008cf592
    as

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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2008/2008cf592.pdf
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    References listed on IDEAS

    as
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    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Clones and Hedge Fund Replication
      by BEN LORICA in The practical quant on 2009-02-02 19:30:00

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