The DOI matches its Crossref record; 29 of the 29 references it cites were found in a registry or an index.
Can Hedge-Fund Returns Be Replicated?: The Linear Case
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Citations
Cites
The arbitrage theory of capital asset pricing
Ross, S. A. (1976) · Journal of Economic Theory · doi:10.1016/0022-0531(76)90046-6 · Cited by 7,009
On a measure of lack of fit in time series models
LJUNG, G. M., & BOX, G. E. P. (1978) · Biometrika · doi:10.1093/biomet/65.2.297 · Cited by 6,668
An Intertemporal Capital Asset Pricing Model
Merton, R. C. (1973) · Econometrica · doi:10.2307/1913811 · Cited by 6,508
Asset allocation: Management style and performance measurement
Sharpe, W. F. (1992) · The Journal of Portfolio Management · doi:10.3905/jpm.1992.409394 · Cited by 1,556
Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds
Fung, W., & Hsieh, D. A. (1997) · Review of Financial Studies · doi:10.1093/rfs/10.2.275 · Cited by 1,262
Risks and Portfolio Decisions Involving Hedge Funds
Agarwal, V., & Naik, N. Y. (2004) · Review of Financial Studies · doi:10.1093/rfs/hhg044 · Cited by 1,212
The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers
Fung, W., & Hsieh, D. A. (2001) · Review of Financial Studies · doi:10.1093/rfs/14.2.313 · Cited by 1,197
Survivorship Bias in Performance Studies
Brown, S. J., Goetzmann, W., Ibbotson, R. G., & Ross, S. A. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.4.553 · Cited by 1,121
Hedge Fund Benchmarks: A Risk-Based Approach
Fung, W., & Hsieh, D. A. (2004) · Financial Analysts Journal · doi:10.2469/faj.v60.n5.2657 · Cited by 1,031
An econometric model of serial correlation and illiquidity in hedge fund returns
Getmansky, M., Lo, A. W., & Makarov, I. (2004) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.04.001 · Cited by 998
Self-citation
Cited by
Hedge Funds: Performance, Risk, and Capital Formation
FUNG, W., HSIEH, D. A., NAIK, N. Y., & RAMADORAI, T. (2008) · The Journal of Finance · doi:10.1111/j.1540-6261.2008.01374.x · Cited by 658
Metadata
- Authors
- Hasanhodzic, J., & Lo, A. W.
- Venue
- SSRN Electronic Journal
- Publisher
- Elsevier BV
- Published
- 2006
- ISSN
- 1556-5068 (ISSN-L)
- OpenAlex
- W2112796414
- Cited by
- 286
- References
- 29
- Type
- posted content
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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