The challenges in modelling hedge fund returns

academic paper

The challenge involved in modelling hedge fund returns is important, because it is a necessary step in making asset-liability management choices that include hedge funds as a strategic allocation class like stocks and bonds.

In more recent times, the question of modelling hedge funds has been raised within the framework of the initiatives taken by the industry to replicate hedge fund performance.

The fact that hedge funds have gained widespread acceptance while remaining somewhat mysterious in

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