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| Tekijä: | Goltz, F. Martellini, L. Vaissié, M. |
| Otsikko: | Hedge fund indices: reconciling investability and representativity |
| Lehti: | European Financial Management
2007 : MAR, VOL. 13:2, p. 257-286 |
| Asiasana: | hedging portfolio investment |
| Kieli: | eng |
| Tiivistelmä: | This article addresses the question of whether designing hedge fund indices that fulfill the usual requirements (in particular representative and investable) is or not a feasible task, given a variety of features that are specific to that industry. To test whether or not investability should necessarily come at the cost of representativity, this article uses a well-known methodology in the asset pricing literature based on the concept of factor replicating portfolios. |
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