Hedge fund replication with a genetic algorithm: breeding a usable mousetrap
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985998%3A_____%2F15%3A00454923" target="_blank" >RIV/67985998:_____/15:00454923 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1080/14697688.2014.979222" target="_blank" >http://dx.doi.org/10.1080/14697688.2014.979222</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/14697688.2014.979222" target="_blank" >10.1080/14697688.2014.979222</a>
Alternative languages
Result language
angličtina
Original language name
Hedge fund replication with a genetic algorithm: breeding a usable mousetrap
Original language description
This study tests the performance of 14 hedge fund index clones created using parsimonious out-of-sample replication portfolios consisting solely of easily accessible assets. We employ a genetic algorithm to integrate two traditional hedge fund replication methods, the factor-based and payoff distribution replication methods, and evaluate over 4500 commonly held stocks, bonds and mutual funds as replicating portfolio components. In-sample performance indicates that hedge funds have return series similarto portfolios of commonly held assets, and out-of-sample results provide evidence that the in-sample relationships can hold with infrequent rebalancing. This hedge fund replication attempt rates well relatively to prior efforts as 11 replicating portfolios have out-of-sample correlation values of at least 60%. Overall, these results show promise for using a genetic algorithm technique to replicate hedge fund returns.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA14-31783S" target="_blank" >GA14-31783S: Firm behavior in changing economic environment</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Quantitative Finance
ISSN
1469-7688
e-ISSN
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Volume of the periodical
15
Issue of the periodical within the volume
10
Country of publishing house
GB - UNITED KINGDOM
Number of pages
22
Pages from-to
1705-1726
UT code for WoS article
000361372800001
EID of the result in the Scopus database
2-s2.0-84941807410