Hedge Fund Replication

Edited by Greg N. Gregoriou and Maher Kooli

in Palgrave Macmillan Books from Palgrave Macmillan

Date: 2012
ISBN: 978-0-230-35831-7
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Chapters in this book:

Ch 1 Can We Really “Clone” Hedge Fund Returns? Further Evidence

Maher Kooli and Sameer Sharma

Ch 2 Hedge Fund Replication: Does Model Combination Help?

Jérôme Teïletche

Ch 3 Factor-Based Hedge Fund Replication with Risk Constraints

Richard D. F. Harris and Murat Mazibaş

Ch 4 Takeover Probabilities and the Opportunities for Hedge Funds and Hedge Fund Replication to Produce Abnormal Gains

Anthony Ravi, Peter Mayall and John Simpson

Ch 5 Benchmarking of Replicated Hedge Funds

Martin D. Wiethuechter and Lajos Németh

Ch 6 Insight—Distributional Hedge Fund Replication via State Contingent Stochastic Dominance

Clemens H. Glaffig

Ch 7 Nonparametric Hedge Funds and Replication Indices Performance Analysis: A Robust Directional Application

Laurent Germain, Nicolas Nalpas and Anne Vanhems

Ch 8 Hedge Fund Cloning through State Space Models

Roberto Savona

Ch 9 Hedge Fund Return Replication via Learning Models

R. McFall-Lamm

Ch 10 Linear Model for Passive Hedge Fund Replication

Giovanni Barone-Adesi and Simone Siragusa

Ch 11 Can Hedge Fund-Like Returns be Replicated in a Regulated Environment?

Iliya Markov and Nils S. Tuchschmid

Ch 12 A Factor-Based Application to Hedge Fund Replication

Marco Rossi and Sergio L. Rodríguez

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DOI: 10.1057/9780230358317

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