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Performance of Passive Hedge Fund Replication Strategies
In this paper we extend Hasanhodzic and Lo (2007) by assessing the out-of-sample performance of various non-linear and conditional hedge fund replication models.
Author(s):
Professor of Finance and Director of the EDHEC Risk and Asset Management Research Centre
Professor of Finance, EDHEC Business SchoolScientific Director, EDHEC Risk and Asset Management Research Centre
Professor of Finance, EDHEC Business School
Research Engineer at the EDHEC Risk and Asset Management Research Centre
| Type: | Working paper |
|---|---|
| Date: | le 16/09/2009 |
| Extra information : | Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu ] Les opinions exprimées sont celles des auteurs et n'engagent pas la responsabilité de l'EDHEC. |
| Research Cluster : | Finance |
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Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 15 European business schools, ranked 1st worldwide for its Master in Finance. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. For business from birth and dedicated to business, EDHEC makes entrepreneurs for life, able to remodel or create successful businesses wherever they work.
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