Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication
提出一种用最便宜动态交易策略生成目标收益分布的新方法，应用于对冲基金复制，实证表明该方法显著提升复制效果。
Abstract This paper provides a new method for constructing a dynamic optimal portfolio for asset management. This method generates a target payoff distribution using the cheapest dynamic trading strategy. As a practical example, the method is applied to hedge fund replication. This dynamic portfolio strategy is regarded as an extension of a hedge fund replication methodology that was developed by Kat and Palaro and Papageorgiou et al. to address multiple trading assets with both long and short positions. Empirical analyses show that such an extension significantly improves the performance of replication in practice.