Purpose – Hedge fund replication gained considerable attention during the period surrounding 2007 when it was anticipated to become for hedge fund investors what index funds are for equity investors. The hedge fund replication concept only lacked a track record. This paper aims to present an...

The main objective of this study is to classify economic sectors using the clustering method, and to validate the classification from an economic point of view. The method is intended to create clusters, or portfolios, whose components show similar characteristics. The method also allows...

In this paper, we develop and implement an intertemporal or dynamic asset allocation model for the Swiss financial market. The investor's time horizon is thus explicitly taken into account and the performance of the model is compared with traditional solutions as the quot;mean-variancequot;...