Essays about: "Constantijn Huigen"

Found 1 essay containing the words Constantijn Huigen.

  1. 1. Factor-Based Hedge Fund Replication Using Exchange-Traded Funds

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Frank Hartman; Constantijn Huigen; [2017]
    Keywords : Hedge Funds; Replication; Factor Model; Exchange-Traded Funds;

    Abstract : This paper studies the performance of factor-based hedge fund replication. We use monthly data of nine exchange-traded funds to estimate clone portfolios over the sample period 2008-2016 for eleven different hedge fund indices. READ MORE