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A New Hedge Fund Replication Method with the Dynamic Optimal Portfolio
http://hdl.handle.net/2261/35806
http://hdl.handle.net/2261/358065591e692-0ef2-4065-a8c9-233d42689f12
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | A New Hedge Fund Replication Method with the Dynamic Optimal Portfolio | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | JEL: G11, G20, G23 | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Hedge Fund Replication | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Dynamic Portfolio Optimization | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Martingale Method | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Malliavin Calculus | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Takahashi, Akihiko
× Takahashi, Akihiko× Yamamoto, Kyo |
|||||
著者所属 | ||||||
著者所属 | University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Graduate School of Economics, University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper provides a new hedge fund replication method, which extends Kat and Palaro (2005) and Papageorgiou, Remillard and Hocquard (2008) to multiple trading assets with both long and short positions. The method generates a target payoff distribution by the cheapest dynamic portfolio. It is regarded as an extension of Dybvig (1988) to continuous-time framework and dynamic portfolio optimization where the dynamic trading strategy is derived analytically by applying Malliavin calculus. It is shown that the cost minimization is equivalent to maximization of a certain class of von Neumann-Morgenstern utility functions. The method is applied to the replication of a CTA/Managed Futures Index in practice. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Forthcoming in Global Journal of Business Research, Vol. 4(4), pp. 23-34, 2010. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-726, 発行日 2010-03 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf726ab.html |