This article addresses the problem of portfolio construction in the context of efficient hedge fund investments replication. We propose a modification to the standard à la Sharpe ‘style analysis' where we augment the objective function with a penalty proportional to the sum of the absolute...

This article addresses the problem of portfolio construction in the context of efficient hedge fund investments replication. We propose a modification to the standard à la Sharpe “style analysis” by introducing a constraint on the asset weights 1-norm and 2-norm. This constraint regularizes...

Whether hedge fund returns could be attributed to systematic risk exposures rather than managerial skills is an interesting debate among academics and practitioners. Academic literature suggests that hedge fund performance is mostly determined by alternative betas, which justifies the...

Title IV of the Dodd-Frank Act introduced the most significant regulatory change in the history of the hedge fund industry in the United States, boosting the permissible regulatory oversight of the hedge fund industry to an unprecedented level. Title IV and SEC implementation rules introduced a...