Can Hedge-Fund Returns Be Replicated?: The Linear Case
By Jasmina Hasanhodzic, Andrew W. Lo. 2006
255 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/c725fc453d48eac9d5652a0b26342a0eb0cb69da
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Amir Ehsan Khandani
- Andrew W. Lo
- Paul Jusselin
- Thierry Roncalli
- John Douglas Opdyke
- Ronan Bolton
- S. Hall
- T. Foxon
In Finance
- Amir Ehsan Khandani
- Andrew W. Lo
- Paul Jusselin
- Thierry Roncalli
- John Douglas Opdyke
- Sylvain Chassang
- S. Hall
- T. Foxon
Citations in the corpus
- Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies (2017, methodology): “Hasanhodzic and Lo (2007) show that we can replicate the performance of a hedge fund portfolio using a linear factor model with traditional asset classes.”
- What Happened to the Quants in August 2007?: Evidence from Factors and Transactions Data (2010, background): “To the extent that the demand for alternative investments continues to grow, the increasing amounts of assets devoted to such endeavors will create its own common factors that can be measured, benchmarked, managed, and, ultimately, passively replicated as proposed in Hasanhodzic and Lo (2007). Howev”