create a website

Synthetic hedge funds. (2016). Heigermoser, Robert ; Hanauer, Matthias X ; Fischer, Mario.
In: Review of Financial Economics.
RePEc:eee:revfin:v:29:y:2016:i:c:p:12-22.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 25

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Agarwal, V. ; Naik, N.Y. Risks and portfolio decisions involving hedge funds. 2004 Review of Financial Studies. 17 63-98

  2. Amenc, N. ; Géhin, W. ; Martellini, L. ; Meyfredi, J.-C. Passive hedge fund replication: A critical assessment of existing techniques. 2008 Journal of Alternative Investments. 11 69-84
    Paper not yet in RePEc: Add citation now
  3. Amenc, N. ; Martellini, L. ; Meyfredi, J.-C. ; Ziemann, V. Passive hedge fund replication — beyond the linear case. 2010 European Financial Management. 16 191-210
    Paper not yet in RePEc: Add citation now
  4. Amin, G.S. ; Kat, H.M. Hedge fund performance 1990–2000: Do the “money machines” really add value?. 2003 Journal of Financial and Quantitative Analysis. 38 251-274

  5. Bollen, N.P.B. ; Fisher, G.S. Send in the clones? Hedge fund replication using futures contracts. 2013 Journal of Alternative Investments. 16 80-95
    Paper not yet in RePEc: Add citation now
  6. Carhart, M.M. On persistence in mutual fund performance. 1997 Journal of Finance. 52 57-82

  7. Dor, A.B. ; Jagannathan, R. ; Meier, I. ; Xu, Z. What drives the tracking error of hedge fund clones?. 2012 The Journal of Alternative Investments. 15 54-74
    Paper not yet in RePEc: Add citation now
  8. Dybvig, P.H. Distributional analysis of portfolio choice. 1988 Journal of Business. 61 369-393

  9. Fung, W. ; Hsieh, D.A. Empirical characteristics of dynamic trading strategies: the case of hedge funds. 1997 Review of Financial Studies. 10 275-302

  10. Fung, W. ; Hsieh, D.A. Hedge fund benchmarks: A risk-based approach. 2004 Financial Analysts Journal. 60 65-80
    Paper not yet in RePEc: Add citation now
  11. Fung, W. ; Hsieh, D.A. The risk in hedge fund strategies: theory and evidence from long/short equity hedge funds. 2011 Journal of Empirical Finance. 18 547-569

  12. Fung, W. ; Hsieh, D.A. The risk in hedge fund strategies: theory and evidence from trend followers. 2001 Review of Financial Studies. 14 313-341

  13. Fung, W. ; Hsieh, D.A. ; Naik, N.Y. ; Ramadorai, T. Hedge funds: performance, risk, and capital formation. 2008 Journal of Finance. 63 1777-1803

  14. Gupta, B. ; Szado, E. ; Spurgin, W. Performance characteristics of hedge fund replication programs. 2008 Journal of Alternative Investments. 11 61-68
    Paper not yet in RePEc: Add citation now
  15. Hasanhodzic, J. ; Lo, A.W. Can hedge-fund returns be replicated?: the linear case. 2007 Journal of Investment Management. 5 5-45
    Paper not yet in RePEc: Add citation now
  16. Jaeger, L. ; Wagner, C. Factor modeling and benchmarking of hedge funds: Can passive investments in hedge fund strategies deliver?. 2005 Journal of Alternative Investments. 8 9-36
    Paper not yet in RePEc: Add citation now
  17. Kat, H.M. Alternative routes to hedge fund return replication. 2007 Journal of Wealth Management. 10 25-39
    Paper not yet in RePEc: Add citation now
  18. Kat, H.M. ; Palaro, H.P. Hedge fund returns: you can make them yourself!. 2005 Journal of Wealth Management. 8 62-68
    Paper not yet in RePEc: Add citation now
  19. Kat, H.M. ; Palaro, H.P. Replication and evaluation of funds of hedge funds returns. 2006 En : Gregoriou, G. Fund of hedge funds: performance, assessment, diversification and statistical properties. Elsevier:

  20. Kat, H.M. ; Palaro, H.P. Superstars or average joes? A replication-based performance evaluation of 1917 individual hedge funds. 2006 En : Alternative Investment Research Centre Working Paper No. 30. :
    Paper not yet in RePEc: Add citation now
  21. Kat, H.M. ; Palaro, H.P. Who needs hedge funds? A copula-based approach to hedge fund return replication. 2005 En : Alternative Investment Research Centre Working Paper No. 27. :
    Paper not yet in RePEc: Add citation now
  22. Kooli, M. ; Sharma, S. Should we give hedge funds clones a chance?. 2012 Managerial Finance. 38 44-66
    Paper not yet in RePEc: Add citation now
  23. Mitchell, M. ; Pulvino, T. Characteristics of risk and return in risk arbitrage. 2001 Journal of Finance. 56 2135-2175

  24. Tuchschmid, N.S. ; Wallerstein, E. ; Zaker, S. Hedge fund replication in turbulent markets. 2012 Managerial Finance. 38 67-81
    Paper not yet in RePEc: Add citation now
  25. Wallerstein, E. ; Tuchschmid, N.S. ; Zaker, S. How do hedge fund clones manage the real world?. 2010 Journal of Alternative Investments. 12 37-50
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Portfolio optimization in hedge funds by OGARCH and Markov Switching Model. (2015). Seco, Luis ; Wu, Lin-Liang Bill ; Luo, Cuicui.
    In: Omega.
    RePEc:eee:jomega:v:57:y:2015:i:pa:p:34-39.

    Full description at Econpapers || Download paper

  2. The Impact of Hedge Funds on Asset Markets. (2014). Ramadorai, Tarun ; Patton, Andrew ; Kruttli, Mathias.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10151.

    Full description at Econpapers || Download paper

  3. Pension funds’allocations to hedge funds: an empirical analysis of US and Canadian defined benefit plans. (2013). Bouvatier, Vincent ; Rigot, Sandra.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2013-4.

    Full description at Econpapers || Download paper

  4. Funds of hedge funds: performance, risk and capital formation 2005 to 2010. (2012). Fung, William ; Naik, Narayan ; Hsieh, David ; Edelman, Daniel .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:1:p:87-108.

    Full description at Econpapers || Download paper

  5. Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests. (2012). Bessler, Wolfgang ; Kurmann, Philipp ; Holler, Julian .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:1:p:109-141.

    Full description at Econpapers || Download paper

  6. Diversification in the hedge fund industry. (2012). Dai, Na ; Cumming, Douglas ; Shawky, Hany A..
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:18:y:2012:i:1:p:166-178.

    Full description at Econpapers || Download paper

  7. Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM. (2012). Charles-Cadogan, G..
    In: Papers.
    RePEc:arx:papers:1206.4562.

    Full description at Econpapers || Download paper

  8. Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets. (2012). Charles-Cadogan, G..
    In: Papers.
    RePEc:arx:papers:1206.2662.

    Full description at Econpapers || Download paper

  9. Assessing the Performance of Funds of Hedge Funds. (2011). Pirotte Speder, Hugues ; Dewaele, Benoit ; Tuchschmid, N. ; Wallerstein, E..
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/97544.

    Full description at Econpapers || Download paper

  10. Corporate governance and hedge fund activism. (2011). Mooradian, Robert ; Boyson, Nicole .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:2:p:169-204.

    Full description at Econpapers || Download paper

  11. The option CAPM and the performance of hedge funds. (2011). Garcia, René ; Diez de los Rios, Antonio.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:2:p:137-167.

    Full description at Econpapers || Download paper

  12. The financial crisis and hedge fund returns. (2011). Bollen, Nicolas .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:2:p:117-135.

    Full description at Econpapers || Download paper

  13. Liquidity Shocks and Hedge Fund Contagion. (2011). Stulz, René ; Boyson, Nicole M. ; Stahel, Christof W..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2011-12.

    Full description at Econpapers || Download paper

  14. CAPM-like formulae and good deal absence with ambiguous setting and coherent risk measure. (2011). Balbas, Raquel.
    In: INDEM - Working Paper Business Economic Series.
    RePEc:cte:idrepe:id-11-04.

    Full description at Econpapers || Download paper

  15. On the High-Frequency Dynamics of Hedge Fund Risk Exposures. (2011). Ramadorai, Tarun ; Patton, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8479.

    Full description at Econpapers || Download paper

  16. Explaining the returns of active currency managers. (2011). Rehman, Scheherazade S ; Nasypbek, Sam .
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-11.

    Full description at Econpapers || Download paper

  17. Inflation hedging portfolios in different regimes. (2011). Signori, Ombretta ; Briere, Marie.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-08.

    Full description at Econpapers || Download paper

  18. Risk measures for autocorrelated hedge fund returns. (2011). Stork, Philip ; Di Cesare, Antonio ; de Vries, Casper.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_831_11.

    Full description at Econpapers || Download paper

  19. On the Dynamics of Hedge Fund Risk Exposures. (2010). Ramadorai, Tarun ; Patton, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7780.

    Full description at Econpapers || Download paper

  20. Do hedge funds manage their reported returns?. (2009). Agarwal, Vikas ; Daniel, Naveen D. ; Naik, Narayan Y..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0709.

    Full description at Econpapers || Download paper

  21. Role of managerial incentives and discretion in hedge fund performance. (2009). Agarwal, Vikas ; Daniel, Naveen D. ; Naik, Narayan Y..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0404.

    Full description at Econpapers || Download paper

  22. Reducing estimation risk in optimal portfolio selection when short sales are allowed. (2009). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon.
    In: Managerial and Decision Economics.
    RePEc:wly:mgtdec:v:30:y:2009:i:5:p:281-305.

    Full description at Econpapers || Download paper

  23. Inflation-hedging portfolios in Different Regimes. (2009). Signori, Ombretta ; Brière, Marie ; Briere, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:09-047.

    Full description at Econpapers || Download paper

  24. Risk Management Framework for Hedge Funds: Role of Funding and Redemption Options on Leverage. (2009). Sundaresan, Suresh ; Dai, John .
    In: MPRA Paper.
    RePEc:pra:mprapa:16483.

    Full description at Econpapers || Download paper

  25. Market Dispersion and the Profitability of Hedge Funds. (2009). Connor, Gregory ; Li, Sheng.
    In: Economics Department Working Paper Series.
    RePEc:may:mayecw:n2000109.pdf.

    Full description at Econpapers || Download paper

  26. The persistence in hedge fund performance: extended analysis. (2009). Capocci, Daniel ; Daniel P. J. Capocci, .
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:14:y:2009:i:3:p:233-255.

    Full description at Econpapers || Download paper

  27. Employment risk, compensation incentives and managerial risk taking: Evidence from the mutual fund industry. (2008). Ruenzi, Stefan ; Thiele, Tanja ; Kempf, Alexander.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0702.

    Full description at Econpapers || Download paper

  28. Regime switching models of hedge fund returns. (2008). Downarowicz, Anna ; Blazsek, Szabolcs.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1208.

    Full description at Econpapers || Download paper

  29. Volatility Exposure for Strategic Asset Allocation. (2008). Signori, Ombretta ; Brière, Marie ; Briere, Marie ; Burgues, Alexandre .
    In: Working Papers CEB.
    RePEc:sol:wpaper:08-034.

    Full description at Econpapers || Download paper

  30. Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory. (2008). Pezier, Jacques .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2008-05.

    Full description at Econpapers || Download paper

  31. Tracking problems, hedge fund replication and alternative beta. (2008). Roncalli, Thierry ; Weisang, Guillaume.
    In: MPRA Paper.
    RePEc:pra:mprapa:37358.

    Full description at Econpapers || Download paper

  32. The Hedge Fund Game. (2008). Young, H. ; Foster, Dean P.
    In: Economics Papers.
    RePEc:nuf:econwp:0801.

    Full description at Econpapers || Download paper

  33. Hedge Fund Contagion and Liquidity. (2008). Stulz, René ; Boyson, Nicole M. ; Stahel, Christof W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14068.

    Full description at Econpapers || Download paper

  34. Do Funds-of-Funds Deserve Their Fees-on-Fees?. (2008). Zhao, Rui ; Rhodes-Kropf, Matthew ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13944.

    Full description at Econpapers || Download paper

  35. Do Hedge Funds Profit From Mutual-Fund Distress?. (2008). Stein, Jeremy ; Hong, Harrison ; Hanson, Samuel ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13786.

    Full description at Econpapers || Download paper

  36. CoVaR. (2008). Brunnermeier, Markus ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:348.

    Full description at Econpapers || Download paper

  37. Asset pricing models with errors-in-variables. (2008). Carmichael, Benoit ; Coen, Alain.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:4:p:778-788.

    Full description at Econpapers || Download paper

  38. Risk Measurement and Management in a Crisis-Prone World. (2008). Wong, Woon ; Copeland, Laurence.
    In: Cardiff Economics Working Papers.
    RePEc:cdf:wpaper:2008/14.

    Full description at Econpapers || Download paper

  39. On the relative performance of multi-strategy and funds of hedge funds. (2007). Agarwal, Vikas ; Kale, Jayant R..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0711.

    Full description at Econpapers || Download paper

  40. Hedge funds for retail investors? An examination of hedged mutual funds. (2007). Agarwal, Vikas ; Boyson, Nicole M. ; Naik, Narayan Y..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0704.

    Full description at Econpapers || Download paper

  41. Optimal Hedging with Higher Moments. (2006). Černý, Aleš ; ÄŒerný, AleÅ¡ ; Brooks, Chris ; Miffre, J. ; Cerny, A..
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2006-12.

    Full description at Econpapers || Download paper

  42. Is There Hedge Fund Contagion?. (2006). Stulz, René ; Boyson, Nicole M. ; Stahel, Christof W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12090.

    Full description at Econpapers || Download paper

  43. Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence. (2006). Chabi-Yo, Fousseni.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-38.

    Full description at Econpapers || Download paper

  44. Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns. (2006). Garcia, René ; Diez de los Rios, Antonio.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-31.

    Full description at Econpapers || Download paper

  45. Building a Better Fund of Hedge Funds: A Fractal and Alpha - Stable Distribution Approach. (2005). Olszewski, Yan.
    In: Finance.
    RePEc:wpa:wuwpfi:0507018.

    Full description at Econpapers || Download paper

  46. Estimating Bank Trading Risk: A Factor Model Approach. (2005). Berkowitz, Jeremy ; O'Brien, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11608.

    Full description at Econpapers || Download paper

  47. Systemic Risk and Hedge Funds. (2005). Lo, Andrew ; Haas, Shane M. ; Chan, Nicholas ; Getmansky, Mila.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11200.

    Full description at Econpapers || Download paper

  48. Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?. (2005). Duarte, Jefferson ; Longstaff, Francis A. ; Yu, Fan.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt6zx6m7fp.

    Full description at Econpapers || Download paper

  49. Strategic trading behavior and price distortion in a manipulated market: Anatomy of a squeeze. (2004). Yadav, Pradeep K. ; Naik, Narayan Y. ; Merrick, John J..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0407.

    Full description at Econpapers || Download paper

  50. Risk and return in convertible arbitrage: Evidence from the convertible bond market. (2004). Loon, Yee Cheng ; Fung, William H. ; Agarwal, Vikas ; Naik, Narayan Y..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0403.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-18 18:24:41 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.