Hedge Fund Replication: Does Model Combination Help?

Jérôme Teïletche

Chapter 2 in Hedge Fund Replication, 2012, pp 15-29 from Palgrave Macmillan

Abstract: Abstract Hedge fund replication is one of the best-known innovations of the asset management industry in the recent years. Despite some early skepticism from both practitioners and the academic world (see Amenc et al., 2008), hedge fund clones appear to have been successful in meeting their replication objectives, though they are still struggling to raise significant assets.1 In practice, even if at least three alternative approaches are in competition (Jaeger, 2007; Kat, 2007), the industry remains mainly organized around factor-based models.2

Keywords: Ordinary Little Square; Tracking Error; Hedge Fund; Ridge Regression; Sharpe Ratio (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-35831-7_2

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DOI: 10.1057/9780230358317_2

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