Open Access. Powered by Scholars. Published by Universities.®
Operations Research, Systems Engineering and Industrial Engineering
Articles 1 - 1 of 1
Full-Text Articles in Engineering
Hedge Fund Replication Using A Strategy Specific Modeling Approach, Sujit Subhash
Hedge Fund Replication Using A Strategy Specific Modeling Approach, Sujit Subhash
Masters Theses
"Institutional investors and wealthy individuals have in the past allocated a significant portion of their portfolios to hedge funds with the expectation of unconditional and uncorrelated returns to the market. However, the financial crisis of 2008 has heightened investor sensitivity to the high fees, illiquidity, and lockup periods typically associated with hedge funds. Hedge fund indexes showing excellent returns and low volatility contain funds that are closed to new investments, while the performance of investable funds have been shown to be inferior to their non-investable counterparts. The lack of transparency and extreme variation in the performance of hedge funds make …