Hedge Fund Replication

Akihiko Takahashi and Kyo Yamamoto
Additional contact information
Akihiko Takahashi: Faculty of Economics, University of Tokyo
Kyo Yamamoto: Graduate School of Economics, University of Tokyo

No CIRJE-F-592, CIRJE F-Series from CIRJE, Faculty 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.

Pages: 33pages
Date: 2008-09
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2008/2008cf592.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2008cf592

Access Statistics for this paper

More papers in CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by CIRJE administrative office (cirje@e.u-tokyo.ac.jp).