Hedge fund replication with a genetic algorithm: breeding a usable mousetrap

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Hedge fund replication with a genetic algorithm: breeding a usable mousetrap

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Hedge fund replication with a genetic algorithm: breeding a usable mousetrap

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

<a href="/cs/project/GA14-31783S" target="_blank" >GA14-31783S: Analýza chování firem v měnícím se ekonomickém prostředí</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Quantitative Finance

ISSN

1469-7688

e-ISSN

—

Svazek periodika

15

Číslo periodika v rámci svazku

10

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

22

Strana od-do

1705-1726

Kód UT WoS článku

000361372800001

EID výsledku v databázi Scopus

2-s2.0-84941807410