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A model of emulation funds
journal contribution
posted on 2015-09-01, 00:00 authored by Z Chen, F D Foster, D R Gallagher, Adrian LeeAdrian LeeEmulation funds are a potentially cost-effective way for multimanager funds to improve their investment performance by delaying and netting trade signals from underlying managers. We develop a model to represent the expected sources of differential performance in an emulation fund relative to its underlying multimanager portfolio. The model formalises the expected interaction between potential savings and opportunity costs and allows us to observe complexities in the emulation process that are hidden without a benchmark. Finally, the functional representation of the model allows sensitivity analysis of the emulation fund to key parameters and enables us to determine theoretically optimal lag periods.
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Journal
Accounting and financeVolume
55Issue
3Pagination
717 - 748Publisher
WileyLocation
Chichester, Eng.Publisher DOI
ISSN
0810-5391eISSN
1467-629XLanguage
engPublication classification
C1.1 Refereed article in a scholarly journal; C Journal articleCopyright notice
2014, AFAANZUsage metrics
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