Tuesday, June 8, 2010


Replicating Hedge Fund Indices with Optimization Heuristics

By Manfred Gilli of the University of Geneva and The Swiss Finance Institute along with Enrico Schumann, University of Geneva, Gerda Cabej, University of Geneva and Jonela Lula of the University of Geneva

Hedge funds offer desirable risk-return profiles, but the drawbacks are high management fees, lack of transparency, and illiquidity. In their paper, the authors apply advanced modeling techniques to replicate the attractive features of hedge funds - fully transparent, liquid, and low cost.

Download the full article here.

From the June 2010 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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