TY - JOUR T1 - Replicating the Properties of Hedge Fund Returns JF - The Journal of Alternative Investments SP - 8 LP - 39 DO - 10.3905/jai.2008.712595 VL - 11 IS - 2 AU - Nicolas Papageorgiou AU - Bruno RĂ©millard AU - Alexandre Hocquard Y1 - 2008/09/30 UR - https://pm-research.com/content/11/2/8.abstract N2 - In this article, the authors implement a multivariate extension of the Dybvig [1988] Payoff Distribution Model that can be used to replicate not only the marginal distribution of most hedge fund returns but also their dependence on other asset classes. In addition to proposing ways to overcome the hedging and compatibility inconsistencies in Kat and Palaro [2005], the authors extend the results of Schweizer [1995] and adapt American option pricing techniques to evaluate the model and also derive an optimal dynamic trading (hedging) strategy. The proposed methodology can be used as a benchmark for evaluating fund performance, as well as to replicate hedge funds or generate synthetic funds.TOPICS: Portfolio theory, volatility measures, portfolio construction ER -