Are investable hedge fund indices holding their promise?
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Finance
Link
http://link.springer.com/content/pdf/10.1057/jdhf.2012.16.pdf
Reference22 articles.
1. Amenc, N., Martellini, L., Meyfredi, J.-C. and Ziemann, V. (2010) Passive hedge fund replication – Beyond the linear case. European Financial Management 16 (2): 191–210.
2. Amin, G.S. and Kat, H.M. (2003) Welcome to the dark side: Hedge fund attrition and survivorship bias over the period 1994–2001. Journal of Alternative Investments 6 (1): 57–73.
3. Asness, C.S., Krail, R.J. and Liew, J.M. (2001) Do hedge funds hedge? Journal of Portfolio Management 28 (1): 6–19.
4. Azzalini, A. and Genton, M.G. (2008) Robust likelihood methods based on the skew-t and related distributions. International Statistical Review 76 (1): 106–129.
5. Cavenaile, L., Coën, A. and Hübner, G. (2011) The impact of illiquidity and higher moments of hedge fund returns on their risk-adjusted performance and diversification potential. Journal of Alternative Investments 13 (4): 9–29.
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