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| Discuss Who needs Hedge Funds? at the Derivatives within the Traderji.com - Discussion forum for Stocks Commodities & Forex; Following the last paper, this is a more technical one... Abstract: In this paper we ... |
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#1
6th December 2005, 06:51 PM
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Who needs Hedge Funds?
Following the last paper, this is a more technical one...
Abstract: In this paper we develop and demonstrate the workings of a copula-based technique that allows the derivation of dynamic trading strategies, which generate returns with statistical properties similar to hedge funds. We show that this technique is not only capable of replicating fund of funds returns, but is equally well suited for the replication of individual hedge fund returns. Since replication is accomplished by trading futures on traditional assets only, it avoids the usual drawbacks surrounding hedge fund investments, including the need for extensive due diligence, liquidity, capacity, transparency and style drift problems, as well as excessive management fees. As such, our synthetic hedge fund returns are clearly to be preferred over real hedge fund returns. http://papers.ssrn.com/sol3/papers.c...ract_id=855424 
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#2
9th December 2005, 09:30 PM
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Re: Who needs Hedge Funds?
Quote:
Nautilus
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