{"title":"仿真基金模型","authors":"Zhe Chen, F. Foster, D. Gallagher, Adrian D. Lee","doi":"10.1111/acfi.12067","DOIUrl":null,"url":null,"abstract":"type=\"main\" xml:id=\"acfi12067-abs-0001\"> Emulation 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.","PeriodicalId":23644,"journal":{"name":"Wiley-Blackwell: Journal of Business Finance & Accounting","volume":"46 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2013-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"A Model of Emulation Funds\",\"authors\":\"Zhe Chen, F. Foster, D. Gallagher, Adrian D. Lee\",\"doi\":\"10.1111/acfi.12067\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"type=\\\"main\\\" xml:id=\\\"acfi12067-abs-0001\\\"> Emulation 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.\",\"PeriodicalId\":23644,\"journal\":{\"name\":\"Wiley-Blackwell: Journal of Business Finance & Accounting\",\"volume\":\"46 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-09-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Wiley-Blackwell: Journal of Business Finance & Accounting\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1111/acfi.12067\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Wiley-Blackwell: Journal of Business Finance & Accounting","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/acfi.12067","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
type="main" xml:id="acfi12067-abs-0001"> Emulation 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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