@article{Non-Linear:1381,
      recid = {1381},
      author = {Diez de los Rios, Antonio and Garcia, René},
      title = {Assessing and Valuing the Non-Linear Structure of Hedge  Fund Returns},
      publisher = {Bank of Canada},
      address = {2006},
      pages = {1 online resource (v, 62 pages)},
      abstract = {Several studies have put forward the non-linear structure  and option-like features of returns associated with hedge  fund strategies. The authors provide a statistical  methodology to test for such non-linear features with the  returns on any benchmark portfolio. They estimate the  portfolio of options that best approximates the returns of  a given hedge fund, account for this search in the  statistical testing of the contingent claim features, and  test whether the identified non-linear features have a  positive value. The authors find that not all categories of  funds exhibit significant non-linearities, and that only a  few strategies as a group provide significant value to  investors. Individual funds may still provide value in an  otherwise poorly performing category.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/1381},
      doi = {https://doi.org/10.34989/swp-2006-31},
}