PT - JOURNAL ARTICLE AU - Nicolas Papageorgiou AU - Bruno RĂ©millard AU - Alexandre Hocquard TI - Replicating the Properties of Hedge Fund Returns AID - 10.3905/jai.2008.712595 DP - 2008 Sep 30 TA - The Journal of Alternative Investments PG - 8--39 VI - 11 IP - 2 4099 - https://pm-research.com/content/11/2/8.short 4100 - https://pm-research.com/content/11/2/8.full AB - 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