Asset Replicator

• Asset Replicator replicates a target asset (Target Asset) by matching its four moments (that is mean, variance, skewness and kurtosis) using a portfolio of base assets (Base Assets).
• The four moments are calculated based on a historic data (given Start Date, End Date and Periodicity).
• The moment-matching optimisation is then performed either locally or globally (Global).
• Asset Replicator is hosted on Google App Engine (assetreplicator.appspot.com).
• See below for related ideas
  • Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication
  • Can Hedge-Fund Returns Be Replicated?: The Linear Case