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Passive Hedge Fund Replication – Beyond the Linear Case
16 references·6 citing·35 second hop
Passive Hedge Fund Replication – Beyond the Linear Case (2009)Passive Hedge Fund Replication – Beyond t…Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Pairs Trading: Performance of…Can Hedge-Fund Returns Be Replicated?: The Linear Case (2006)Can Hedge-Fund Returns Be Rep…Theory of rational option pricing (2005)Theory of rational option pri…Hedge Fund Benchmarks: A Risk-Based Approach (2004)Hedge Fund Benchmarks: A Risk…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Hedge Fund Performance 1990-2000: Do the "Money Machines" Really Add Value? (2003)Hedge Fund Performance 1990-2…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2002)Risk Reduction in Large Portf…Characteristics of Risk and Return in Risk Arbitrage (2001)Characteristics of Risk and R…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…A contingent claim approach to performance evaluation (1994)A contingent claim approach t…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market (1988)Inefficient Dynamic Portfolio…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Hedge Fund Voluntary Disclosure (2017)Hedge Fund Voluntary Disclosu…How Can 'Smart Beta' Go Horribly Wrong? (2016)How Can 'Smart Beta' Go Horri…A Primer on Alternative Risk Premia (2016)A Primer on Alternative Risk …Hedge Funds: A Dynamic Industry in Transition (2015)Hedge Funds: A Dynamic Indust…Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions (2013)Risk Parity and Beyond - From…Tracking Problems, Hedge Fund Replication and Alternative Beta (2009)Tracking Problems, Hedge Fund…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cross-Section of Expected Stock Returns (1992)Hedge Funds: Performance, Risk, and Capital Formation (2008)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Climate Change Concerns and the Performance of Green vs. Brown Stocks (2022)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)Hedge Funds and the Technology Bubble (2004)PORTFOLIO SELECTION* (1952)A Simplified Model for Portfolio Analysis (1963)Honey, I Shrunk the Sample Covariance Matrix (2004)Chapter 4 Forecast Combinations (2006)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Cryptocurrency trading: a comprehensive survey (2022)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 2004Hedge Fund Benchmarks: A Risk-Based Approach1,029 cited
  • 2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule785 cited
  • 2001Characteristics of Risk and Return in Risk Arbitrage765 cited
  • 2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps535 cited
  • 2003Hedge Fund Performance 1990-2000: Do the "Money Machines" Really Add Value?334 cited
  • 2006Can Hedge-Fund Returns Be Replicated?: The Linear Case287 cited
  • 1994A contingent claim approach to performance evaluation255 cited

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  • 1988Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market246 cited
  • Cited by

    • 2015Hedge Funds: A Dynamic Industry in Transition64 cited
    • 2009Tracking Problems, Hedge Fund Replication and Alternative Beta57 cited
    • 2016How Can 'Smart Beta' Go Horribly Wrong?51 cited
    • 2013Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions37 cited
    • 2017Hedge Fund Voluntary Disclosure25 cited
    • 2016A Primer on Alternative Risk Premia24 cited