The authors thank Joop Huij (referee) for his detailed and constructive advice. Alessio Matteuzzi from Citi is acknowledged for his many valuable comments on practical issues. This article has benefited from the suggestions of Andrea Resti and one referee, both from Carefin-Bocconi, Lionel Martelini, and Dimitris Flamouris, as well as from the comments of seminar participants at: the Financial Mathematics Seminar Series at the University of Minnesota School of Mathematics, the Tinbergen Institute Seminar Series at the VU University of Amsterdam, and the 2009 European Financial Management annual meeting. Financial support from Carefin-Bocconi Centre for Applied Research in Finance is greatly appreciated. Sandra Paterlini conducted part of this research while visiting the School of Mathematics, University of Minnesota. Sandra Paterlini acknowledges financial support from MIU RPRIN 20077P5AWA005 and from Fondazione Cassa di Risparmio di Modena for ASBE Project 36. Any remaining errors are our own.
REGULAR(IZED) HEDGE FUND CLONES
Version of Record online: 23 SEP 2010
© 2010 The Southern Finance Association and the Southwestern Finance Association
Journal of Financial Research
Volume 33, Issue 3, pages 223–247, Fall 2010
How to Cite
Giamouridis, D. and Paterlini, S. (2010), REGULAR(IZED) HEDGE FUND CLONES. Journal of Financial Research, 33: 223–247. doi: 10.1111/j.1475-6803.2010.01269.x
- Issue online: 23 SEP 2010
- Version of Record online: 23 SEP 2010
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