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

2010 ◽  
Author(s):  
Doron Avramov ◽  
Laurent Barras ◽  
Robert Kosowski
Keyword(s):  
Economic Value ◽  
Hedge Fund ◽  
Fund Return

scholarly journals Distributional Replication

Entropy ◽  
2021 ◽  
Vol 23 (8) ◽  
pp. 1063
Author(s):  
Brendan K. Beare
Keyword(s):  
Hedge Fund ◽  
Minimum Cost ◽  
Random Variable ◽  
Optimal Approximation ◽  
Regularity Conditions ◽  
Return Distribution ◽  
Continuous Random Variable ◽  
Hedge Fund Replication ◽  
Market Index ◽  
Fund Return

A function which transforms a continuous random variable such that it has a specified distribution is called a replicating function. We suppose that functions may be assigned a price, and study an optimization problem in which the cheapest approximation to a replicating function is sought. Under suitable regularity conditions, including a bound on the entropy of the set of candidate approximations, we show that the optimal approximation comes close to achieving distributional replication, and close to achieving the minimum cost among replicating functions. We discuss the relevance of our results to the financial literature on hedge fund replication; in this case, the optimal approximation corresponds to the cheapest portfolio of market index options which delivers the hedge fund return distribution.

scholarly journals Hedge Fund Return Dynamics: Long Memory and Regime Switching

2012 ◽  
Author(s):  
Mohamed-Ali Limam ◽  
Virginie Terraza ◽  
Michel Terraza
Keyword(s):  
Long Memory ◽  
Regime Switching ◽  
Hedge Fund ◽  
Return Dynamics ◽  
Fund Return

Hedge Fund Return Dependence and Contagion

2013 ◽  
Author(s):  
Blerina Bela Reca ◽  
Richard W. Sias ◽  
Harry J. Turtle
Keyword(s):  
Hedge Fund ◽  
Fund Return
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