Hedge fund replication

While there may be a consensus in the industry that hedge funds clones will bring better liquidity and lower fees, it is still debatable whether replication products should serve as a complement in the hedge fund allocation decision or as a replacement. This book offers the reader valuable insights into the thinking behind hedge fund replication. Greg N. Gregoriou is the author of numerous published books, book chaptersand refereed journal papers. He has also been quoted several times in the 'New York Times' and the 'Financial Times' of London. Professor Gregoriou is hedge fund editor and editorial board member for the 'Journal of Derivatives and Hedge Funds', as well as editorial board member for the 'Journal of Wealth Management', the 'Journal of Risk Management in Financial Institutions', 'Market Integrity', 'IEB International Journal of Finance', and the 'Brazilian BusinessReview'. Professor Gregoriou's interests focus on hedge funds, funds of funds, and CTAs. He is an EDHEC Research Associate in Nice, France. MAHER KOOLI Professor of Finance at the School of Management, Université du Québec à Montreal(UQAM), Canada. He is also the finance graduate programs director and in charge of the Trading room at UQAM. He holds a Ph.D. in finance from Laval University (Quebec), Canada,and was a postdoctoral researcher in finance at the Center of Interuniversity Research and Analysis on Organisations. Professor Kooli also worked as a Senior Research Advisor for la Caisse de Depot et Placement deQuébec (CDP Capital). He has published articles in a wide variety of books and journals. INDICE: Can We Really 'Clone' Hedge Fund Returns? Further Evidence; 'M.Kooli '& 'S. Sharma - 'Hedge Fund Replication: Does Model Combination Help?; 'J. Teiletche - 'Factor-Based Hedge Fund Replication with Risk Constraints; 'R.D.F.Harris '& 'M. Mazibas - 'Takeover Probabilities and the Opportunities for Hedge Funds and Hedge Fund Replication to Produce Abnormal Gains;' A.Ravi', 'P.Mayall '& 'J. Simpson - 'Benchmarking of Replicated Hedge Funds;' M.D.Wiethuechter '& 'L. Nemeth - 'Insight b Distributional Hedge Fund Replication via StateContingent Stochastic Dominance; 'C.H. Glaffig - 'Non-Parametric Hedge Funds and Replication Indices Performance Analysis: A Robust Directional Application; 'L. Germain', 'N. Nalpas '& 'A. Vanhems - 'Hedge Fund Cloning through State Space Models; 'R. Savona - 'Hedge Fund Return Replication via Learning Models;'R. McFall Lamm, Jr' - Linear Model for Passive Hedge Fund Replication; 'G. Barone-Adesi '& 'S. Siragusa - 'Can Hedge Fund-like Returns be Replicated in a Regulated Environment?; 'I. Markov '& 'N. Tuchschmid - 'A Factor-based Application to Hedge Fund Replication; 'M. Rossi '& 'S.L. Rodríguez - '

• ISBN: 978-0-230-33681-0
• Editorial: Palgrave MacM
• Encuadernacion: Cartoné
• Páginas: 224
• Fecha Publicación: 11/11/2011
• Nº Volúmenes: 1
• Idioma: Inglés