TY - JOUR T1 - Hedge Fund Replication Using Shrinkage Methodologies JF - The Journal of Alternative Investments SP - 26 LP - 49 DO - 10.3905/jai.2014.17.2.026 VL - 17 IS - 2 AU - Jiaqi Chen AU - Michael L. Tindall Y1 - 2014/09/30 UR - https://pm-research.com/content/17/2/26.abstract N2 - In this article, the authors replicate major Hedge Fund Research, Inc., style indexes using alternative methods. These methods include stepwise regression, ridge regression, the lasso method, the elastic net, dynamic linear regression, principal component regression, and partial least squares regression. They find generally that, across the major hedge fund style indexes, the best replication results are obtained with methods that employ shrinkage of parameters.TOPICS: Real assets/alternative investments/private equity, style investing, statistical methods, performance measurement ER -