Hedge Fund Replication

1. Front Matter

   Pages i-xxiv

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2. Can We Really “Clone” Hedge Fund Returns? Further Evidence

   • Maher Kooli, Sameer Sharma

   Pages 1-14

3. Hedge Fund Replication: Does Model Combination Help?

   • Jérôme Teïletche

   Pages 15-29

4. Factor-Based Hedge Fund Replication with Risk Constraints

   • Richard D. F. Harris, Murat Mazibas

   Pages 30-47

5. Takeover Probabilities and the Opportunities for Hedge Funds and Hedge Fund Replication to Produce Abnormal Gains

   • Anthony Ravi, Peter Mayall, John Simpson

   Pages 48-60

6. Benchmarking of Replicated Hedge Funds

   • Martin D. Wiethuechter, Lajos Németh

   Pages 61-75

7. Insight—Distributional Hedge Fund Replication via State Contingent Stochastic Dominance

   • Clemens H. Glaffig

   Pages 76-89

8. Nonparametric Hedge Funds and Replication Indices Performance Analysis: A Robust Directional Application

   • Laurent Germain, Nicolas Nalpas, Anne Vanhems

   Pages 90-105

9. Hedge Fund Cloning through State Space Models

   • Roberto Savona

   Pages 106-118

10. Hedge Fund Return Replication via Learning Models

    • R. McFall-Lamm Jr.

    Pages 119-132

11. Linear Model for Passive Hedge Fund Replication

    • Giovanni Barone-Adesi, Simone Siragusa

    Pages 133-145

12. Can Hedge Fund-Like Returns be Replicated in a Regulated Environment?

    • Iliya Markov, Nils S. Tuchschmid

    Pages 146-158

13. A Factor-Based Application to Hedge Fund Replication

    • Marco Rossi, Sergio L. Rodríguez

    Pages 159-190

14. Back Matter

    Pages 191-193

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While there may be a consensus in the industry that hedge funds clones will bring better liquidity and lower fees, it is still debatable whether replication products should serve as a complement in the hedge fund allocation decision or as a replacement. This book offers the reader valuable insights into the thinking behind hedge fund replication.

• Benchmarking
• distribution
• environment
• fund
• hedge fund
• learning
• liquidity
• science and technology
• investments and securities
• banking

• State University of New York, Plattsburgh, USA

  Greg N. Gregoriou

• EDHEC Business School Research Associate, Nice, France

  Greg N. Gregoriou

• Université du Québec à Montréal, Canada

  Maher Kooli

Greg N. Gregoriou is the author of numerous published books, book chapters and refereed journal papers. He has also been quoted several times in the New York Times and the Financial Times of London. Professor Gregoriou is hedge fund editor and editorial board member for the Journal of Derivatives and Hedge Funds, as well as editorial board member for the Journal of Wealth Management, the Journal of Risk Management in Financial Institutions, Market Integrity, IEB International Journal of Finance, and the Brazilian Business Review. Professor Gregoriou's interests focus on hedge funds, funds of funds, and CTAs. He is an EDHEC Research Associate in Nice, France.

MAHER KOOLI Professor of Finance at the School of Management, Université du Québec à Montreal (UQAM), Canada. He is also the finance graduate programs director and in charge of the Trading room at UQAM. He holds a Ph.D. in finance from Laval University (Quebec), Canada,and was a postdoctoral researcher in finance at the Center of Interuniversity Research and Analysis on Organisations. Professor Kooli also worked as a Senior Research Advisor for la Caisse de Depot et Placement de Québec (CDP Capital). He has published articles in a wide variety of books and journals.

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