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- W2109264199 abstract "This paper provides a new hedge fund replication method, which extends Kat and Palaro (2005) and Papageorgiou, Remillard and Hocquard (2008) to multiple trading assets with both long and short positions. The method generates a target payoff distribution by the cheapest dynamic portfolio. The work here extends the work of of Dybvig (1988) to a continuous-time framework and dynamic portfolio optimization where the dynamic trading strategy is derived analytically by applying Malliavin calculus. It is shown that cost minimization is equivalent to maximization of a certain class of von Neumann-Morgenstern utility functions. The method is applied to the replication of a CTA/Managed Futures Index in practice." @default.
- W2109264199 created "2016-06-24" @default.
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- W2109264199 date "2010-03-16" @default.
- W2109264199 modified "2023-10-03" @default.
- W2109264199 title "A New Hedge Fund Replication Method with the Dynamic Optimal Portfolio" @default.
- W2109264199 hasPublicationYear "2010" @default.
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