Asset Replicator

Submitted by cahn on 3 May, 2007 - 2:43pm

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).
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

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What did I say then?

Submitted by cahn on 4 July, 2009 - 7:30pm

There is a rule of thumb to regional politics that if something appears too good to be true, then it usually is.

Indonesia - Southeast Asia's most populous country and the world's largest Muslim nation - may be well on its way to proving the exception.