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Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication
8 references·6 citing·45 second hop
Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication (2005)Who Needs Hedge Funds? A Copula-Based App…The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors (2001)The Statistical Properties of…Hedge Fund Performance 1990-2000: Do the Money Machines Really Add Value? (2001)Hedge Fund Performance 1990-2…On dynamic investment strategies (2000)On dynamic investment strateg…Asymmetric Correlations of Equity Portfolios (2000)Asymmetric Correlations of Eq…Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market (1988)Inefficient Dynamic Portfolio…Distributional Analysis of Portfolio Choice (1988)Distributional Analysis of Po…Discretely adjusted option hedges (1980)Discretely adjusted option he…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Hedge Funds: A Dynamic Industry in Transition (2015)Hedge Funds: A Dynamic Indust…Optimal hedging in discrete time (2013)Optimal hedging in discrete t…Gaming Performance Fees By Portfolio Managers (2010)Gaming Performance Fees By Po…How Do Hedge Fund Clones Manage the Real World? (2009)How Do Hedge Fund Clones Mana…Replicating the Properties of Hedge Fund Returns (2007)Replicating the Properties of…Replication and evaluation of funds of hedge funds returns (2006)Replication and evaluation of…Rules for Ordering Uncertain Prospects (1969)"Expected Utility" Analysis without the Independence Axiom (1982)Efficient Trading Strategies in the Presence of Market Frictions (2001)PORTFOLIO CHOICE VIA QUANTILES (2010)Games and Decisions (2015)Optimum consumption and portfolio rules in a continuous-time model (1971)Option pricing: A simplified approach (1979)Capital growth with security (2003)Optimal approximations for risk measures of sums of lognormals based on conditional expectations (2007)Locally Capped Investment Products and the RetailInvestor (2011)An equilibrium characterization of the term structure (1977)Long Forward and Zero-Coupon Rates Can Never Fall (1996)Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis (2003)Choosing Outcomes versus Choosing Products: Consumer-Focused Retirement Investment Advice (2008)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Are the gains from international portfolio diversification exaggerated? The influence of downside risk in bear markets (2002)Asset Fire Sales and Purchases and the International Transmission of Funding Shocks (2011)Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward (2011)Theory of Rational Option Pricing (1973)Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach (2001)Guaranteed Annuity Options (2003)Theory of rational option pricing (2005)Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Mutual Fund Performance (1966)Martingales and arbitrage in multiperiod securities markets (1979)Portfolio Optimization and Hedge Fund Style Allocation Decisions (2002)Hedge fund performance and persistence in bull and bear markets (2005)Fund of hedge funds portfolio selection: A multiple-objective approach (2009)Portfolio Selection: Efficient Diversification of Investments. (1962)The Sharpe Ratio (1994)Hedge fund performance appraisal using data envelopment analysis (2004)Stochastic dominance analysis of Asian hedge funds (2007)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Liquidity Risk and Expected Stock Returns (2003)Bank-Intermediated Arbitrage (2018)Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like (2018)Monetary Policy, Redistribution, and Risk Premia (2020)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1988Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market246 cited
  • 1988Distributional Analysis of Portfolio Choice221 cited
  • 2000Asymmetric Correlations of Equity Portfolios214 cited
  • 1980Discretely adjusted option hedges194 cited
  • 2001The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors188 cited
  • 2001Hedge Fund Performance 1990-2000: Do the Money Machines Really Add Value?126 cited
  • 2000On dynamic investment strategies80 cited

Cited by

  • 2009How Do Hedge Fund Clones Manage the Real World?68 cited
  • 2015Hedge Funds: A Dynamic Industry in Transition64 cited
  • 2006Replication and evaluation of funds of hedge funds returns53 cited
  • 2010Gaming Performance Fees By Portfolio Managers47 cited
  • 2007Replicating the Properties of Hedge Fund Returns34 cited
  • 2013Optimal hedging in discrete time22 cited

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