Hedge fund clonesRegularizationSLOPEIndex tracking and hedge fund replication aim at cloning the return time series properties of a given benchmark, by either using only a subset of its original constituents or by a set of risk factors. In this paper, we propose a model that relies on the ...
Hedge Fund ClonesRegularizationSLOPEIndex tracking and hedge fund replication aim at cloning the return time series properties of a given benchmark, by either using only a subset of its original cdoi:10.2139/ssrn.3412061Kremer, PhilippBrzyski, Damian...