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- W1496641337 abstract "This paper provides discussion on factor-based modelling for hedge fund returns, and demonstrates replication via both rolling windows and Kalman filters. In particular, we focus on estimating time-varying hedge fund returns exposure through various asset-based style (ABS) factors. It is shown that certain hedge fund strategies are more susceptible to cloning, suggesting a higher likelihood of creating transparent liquid replication products as either an alternative investment vehicle or as a benchmarking / style analysis tool for institutional investors." @default.
- W1496641337 created "2016-06-24" @default.
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- W1496641337 date "2010-01-01" @default.
- W1496641337 modified "2023-09-23" @default.
- W1496641337 title "Modelling and Replicating Hedge Fund Returns" @default.
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- W1496641337 doi "https://doi.org/10.2139/ssrn.2137395" @default.
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