Takahashi, Akihiko; Yamamoto, Kyo - In: Global Journal of Business Research 4 (2010) 4, pp. 23-34
This paper provides a new hedge fund replication method, which extends Kat and Palaro (2005) and Papageorgiou, Remillard and Hocquard (2008) to multiple trading assets with both long and short positions. The method generates a target payoff distribution by the cheapest dynamic portfolio. The...