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| Author: | Amenc, N.(et al.) |
| Title: | Passive hedge fund replication beyond the linear case |
| Journal: | European Financial Management
2010 : MAR, VOL. 16:2, p. 191-210 |
| Index terms: | funds factor analysis models linear models |
| Freeterms: | hedge replication condition factor model linear case Kalman filter model |
| Language: | eng |
| Abstract: | Based on extends Hasanhodzic and Lo (2007) by assessing the out-of-sample performance of various non-linear and conditional hedge fund replication models. The paper suggests that going beyond the linear case does not necessarily enhance the replication power and selecting factors on the basis on an economic analysis allows for a substantial improvement in out-of-sample replication quality. |
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