Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs

Jun Duanmu; Yongjia Li; Alexey Malakhov

doi:10.1111/fire.12221

Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs

Financial Review ◽

10.1111/fire.12221 ◽

2019 ◽

Vol 55 (3) ◽

pp. 405-431 ◽

Cited By ~ 1

Author(s):

Jun Duanmu ◽

Yongjia Li ◽

Alexey Malakhov

Keyword(s):

Risk Factor ◽

Hedge Fund ◽

Hedge Fund Risk ◽

Fund Return

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Replication and optimization of hedge fund risk factor exposures

2013 IEEE International Conference on Acoustics, Speech and Signal Processing ◽

10.1109/icassp.2013.6639367 ◽

2013 ◽

Cited By ~ 5

Author(s):

Douglas E. Johnston ◽

Inigo Urteaga ◽

Petar M. Djuric

Keyword(s):

Risk Factor ◽

Hedge Fund ◽

Hedge Fund Risk

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Estimating hedge fund risk factor exposures

2012 IEEE 13th International Workshop on Signal Processing Advances in Wireless Communications (SPAWC) ◽

10.1109/spawc.2012.6292961 ◽

2012 ◽

Cited By ~ 1

Author(s):

Douglas E. Johnston ◽

Petar M. Djuric

Keyword(s):

Risk Factor ◽

Hedge Fund ◽

Hedge Fund Risk

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The Persistence of Hedge Fund Risk: Evidence and Implications for Investors

CFA Digest ◽

10.2469/dig.v34.n2.1405 ◽

2004 ◽

Vol 34 (2) ◽

pp. 12-13

Author(s):

Robert A. McLean

Keyword(s):

Hedge Fund ◽

Hedge Fund Risk

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A Conditional Approach to Hedge Fund Risk

SSRN Electronic Journal ◽

10.2139/ssrn.1113042 ◽

2006 ◽

Author(s):

Jerome Teiletche ◽

FLORENT POCHON

Keyword(s):

Hedge Fund ◽

Conditional Approach ◽

Hedge Fund Risk

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Hedge Fund Risk Management: An Overview

SSRN Electronic Journal ◽

10.2139/ssrn.1266340 ◽

2008 ◽

Cited By ~ 3

Author(s):

Mohsen Mazaheri

Keyword(s):

Risk Management ◽

Hedge Fund ◽

Hedge Fund Risk

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Hedge Fund Predictability Under the Magnifying Glass: The Economic Value of Individual Fund Return Forecasting

SSRN Electronic Journal ◽

10.2139/ssrn.1573050 ◽

2010 ◽

Author(s):

Doron Avramov ◽

Laurent Barras ◽

Robert Kosowski

Keyword(s):

Economic Value ◽

Hedge Fund ◽

Fund Return

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Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?

SSRN Electronic Journal ◽

10.2139/ssrn.3650981 ◽

2020 ◽

Author(s):

Massimo Guidolin ◽

Alexei G. Orlov

Keyword(s):

Risk Factor ◽

Hedge Fund ◽

Monetary Policies

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Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication

SSRN Electronic Journal ◽

10.2139/ssrn.855424 ◽

2005 ◽

Cited By ~ 26

Author(s):

Harry M. Kat ◽

Helder P. Palaro

Keyword(s):

Hedge Funds ◽

Hedge Fund ◽

Fund Return

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Hedge Fund Return Misreporting: Incentives and Effects

SSRN Electronic Journal ◽

10.2139/ssrn.1661075 ◽

2011 ◽

Cited By ~ 8

Author(s):

Petri Jylha

Keyword(s):

Hedge Fund ◽

Fund Return

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Hedge Fund Risk, Disasters and Their Prevention: The Failure of Long Term Capital Management

Scenarios for Risk Management and Global Investment Strategies ◽

10.1002/9781119206095.ch11 ◽

2015 ◽

pp. 95-99

Keyword(s):

Hedge Fund ◽

Capital Management ◽

Hedge Fund Risk

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