Hedge Fund Clones

Tuchschmid, Nils S.; Wallerstein, Erik; Zaker, Sassan

doi:10.1093/oxfordhb/9780199553433.013.0008

Cited by 4 publications

(4 citation statements)

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“…For the purpose of the replication for such hedge fund strategies, a factor-based or rule-based method should be tried first. The factor-based approach is often used for the all strategies hedge fund index (see Tuchschmid et al (2010Tuchschmid et al ( , 2012 for example). Takahashi and Yamamoto (2009) replicated the Asian long/short equities strategy using a factor-based method.…”

Section: Data Descriptionmentioning

confidence: 99%

“…They have been developing their own original methods by employing highly sophisticated financial models and statistical methods. Some have developed replication techniques by collaborating with the pioneers in hedge fund research (see, for example, Takahashi and Yamamoto (2009) or Tuchschmid et al (2010Tuchschmid et al ( , 2012). These products overcome some of the disadvantages of hedge fund investment: high cost, low transparency, and low liquidity.…”

Section: Introductionmentioning

confidence: 99%

“…Therefore, these products have gained increased attention. Tuchschmid et al (2010Tuchschmid et al ( , 2012 examined the performances of existing hedge fund clone products.…”

Section: Introductionmentioning

confidence: 99%

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Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication

Takahashi

Yamamoto

2013

Quantitative Finance

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* This research is supported by CARF (Center for Advanced Research in Finance) and the global COE program "The research and training center for new development in mathematics." We are very grateful to two anonymous referees for their precious comments, which have improved the previous version of this paper substantially. Also, we thank Hideki Yamauchi and Takahiko Suenaga at GCI Asset Management Inc. and Tetsuya Aoki at GCI Investment Management Singapore Pte. Ltd. for their constant support. All the contents expressed in this research are solely those of the authors and do not represent any views or opinions of any institutions. The authors are not responsible or liable in any manner for any losses and/or damages caused by the use of any contents in this research. Takahashi and Yamamoto (2010) is the summary of this research. It is based on the presentation entitled "A New Hedge Fund Replication Method with the dynamic Optimal Portfolio at Global Conference on Business and Finance 2010

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Section: Data Descriptionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication

Takahashi

Yamamoto

2013

Quantitative Finance

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“…The application types differ in terms of (i) intensity of application (i.e., quantity of active ingredients per unit of surface), (ii) number of applications per agricultural cycle, and (iii) class of active ingredients applied, in particular with respect to the share of carbamates and pyrethoids over the total quantity of fungicide and insecticide (see ref and Table 5 in the Supporting Information). Furthermore, there is the option to use the option “crop rotation” based on refs and .…”

Section: Methodsmentioning

confidence: 99%

Simulating Human and Environmental Exposure from Hand-Held Knapsack Pesticide Application: Be-WetSpa-Pest, an Integrative, Spatially Explicit Modeling Approach

Binder

García-Santos

Andreoli

et al. 2016

J. Agric. Food Chem.

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This paper presents an integrative and spatially explicit modeling approach for analyzing human and environmental exposure from pesticide application of smallholders in the potato-producing Andean region in Colombia. The modeling approach fulfills the following criteria: (i) it includes environmental and human compartments; (ii) it contains a behavioral decision-making model for estimating the effect of policies on pesticide flows to humans and the environment; (iii) it is spatially explicit; and (iv) it is modular and easily expandable to include additional modules, crops, or technologies. The model was calibrated and validated for the Vereda La Hoya and was used to explore the effect of different policy measures in the region. The model has moderate data requirements and can be adapted relatively easily to other regions in developing countries with similar conditions.

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Do Alternative UCITS Deliver What They Promise? A Comparison of Alternative UCITS and Hedge Funds

Busack¹,

Drobetz

Tille³

2013

SSRN Journal

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Hedge Fund Clones

Cited by 4 publications

References 0 publications

Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication

Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication

Simulating Human and Environmental Exposure from Hand-Held Knapsack Pesticide Application: Be-WetSpa-Pest, an Integrative, Spatially Explicit Modeling Approach

Do Alternative UCITS Deliver What They Promise? A Comparison of Alternative UCITS and Hedge Funds

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