We acknowledge financial support from NewEdge, the sponsor of the Research Chair in “Advanced Modelling Techniques for Hedge Fund Returns” at EDHEC Risk and Asset Management Research Center. We would also like to thank René Garcia, as well as an anonymous referee, for very useful comments. Correspondence: Lionel Martellini.
Passive Hedge Fund Replication – Beyond the Linear Case
Version of Record online: 16 JAN 2009
© 2009 The Authors Journal compilation © 2009 Blackwell Publishing Ltd
European Financial Management
Volume 16, Issue 2, pages 191–210, March 2010
How to Cite
Amenc, N., Martellini, L., Meyfredi, J.-C. and Ziemann, V. (2010), Passive Hedge Fund Replication – Beyond the Linear Case. European Financial Management, 16: 191–210. doi: 10.1111/j.1468-036X.2008.00448.x
- Issue online: 25 FEB 2010
- Version of Record online: 16 JAN 2009
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