Roncalli, Thierry; Teiletche, Jérôme - In: Journal of Financial Transformation 24 (2008), pp. 43-52
Hedge fund replication based on factor models is encountering growing interest. In this paper, we investigate the implications of substituting standard rolling windows regressions, which appear ad-hoc, with more efficient methodologies like the Kalman filter. We show that the copycats...