Harry M. Kat

Independent

SCHOLARLY PAPERS

48

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Top 6,006

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116

CROSSREF CITATIONS

118

Scholarly Papers (48)

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1.

Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication

Alternative Investment Research Centre Working Paper No. 27, Cass Business School Research Paper
Number of pages: 52 Posted: 30 Nov 2005
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 8,629 (1,060)
Citation 30

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hedge fund, replication, copula, dynamic trading

2.

Hedge Fund Returns: You Can Make Them Yourself!

AIRC Working Paper No. 0023, Cass Business School Research Paper
Number of pages: 15 Posted: 15 Sep 2005
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 8,365 (1,130)
Citation 5

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hedge fund, replication

3.

The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors

Cass Business School Research Paper
Number of pages: 42 Posted: 06 Nov 2001
Harry M. Kat and Chris Brooks
Independent and University of Bristol - School of Economics, Finance and Management
Downloads 7,638 (1,328)
Citation 49

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hedge fund, hedge fund index, Sharpe Ratio, Mean-Variance analysis, skewness, kurtosis

4.

What Every Investor Should Know About Commodities, Part I: Univariate Return Analysis

Alternative Investment Research Centre Working Paper No. 29, Cass Business School Research Paper
Number of pages: 35 Posted: 27 Jan 2006
Harry M. Kat and Roel C. A. Oomen
Independent and Deutsche Bank AG (London)
Downloads 5,553 (2,255)
Citation 27

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Commodities, commodity futures, risk premium, volatility, skewness, kurtosis, autocorrelation

5.

Alternative Routes to Hedge Fund Return Replication: Extended Version

Cass Business School Research Paper No. 0037
Number of pages: 29 Posted: 24 Oct 2006
Harry M. Kat
Independent
Downloads 5,509 (2,282)
Citation 5

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Hedge fund, synthetic fund, replication, asset management

6.

Hedge Fund Performance 1990-2000: Do the Money Machines Really Add Value?

EFMA 2001 Lugano Meetings, Cass Business School Research Paper
Number of pages: 39 Posted: 23 May 2001
Harry M. Kat and Gaurav S. Amin
Independent and Albourne Partners
Downloads 5,126 (2,638)
Citation 6

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7.

What Every Investor Should Know About Commodities, Part Ii: Multivariate Return Analysis

Downloads 4,352 ( 3,492)
Citation 31

What Every Investor Should Know About Commodities, Part Ii: Multivariate Return Analysis

Alternative Investment Research Centre Working Paper No. 33
Number of pages: 35 Posted: 14 Jun 2006 Last Revised: 20 Oct 2016
Harry M. Kat and Roel C. A. Oomen
Independent and Deutsche Bank AG (London)
Downloads 4,352 (3,436)
Citation 31

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Commodities, commodity futures, correlation, tail-dependence, SJC copula, inflation

What Every Investor Should Know About Commodities Part II: Multivariate Return Analysis

Journal of Investment Management, Vol. 5, No. 3, Third Quarter 2007
Posted: 22 Oct 2007
Harry M. Kat and Roel C. A. Oomen
Independent and Deutsche Bank AG (London)

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Commodities, commodity futures, correlation, tail-dependence, SJC copula, inflation

8.

Replication and Evaluation of Fund of Hedge Funds Returns

Alternative Investment Research Centre Working Paper No. 28, Cass Business School Research Paper
Number of pages: 24 Posted: 03 Jan 2006
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 4,033 (3,989)
Citation 3

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Hedge funds, fund of funds, return replication, performance evaluation, copula, alpha

9.

Tell Me What You Want, What You Really, Really Want! An Exercise in Tailor-Made Synthetic Fund Creation

Alternative Investment Research Centre Working Paper No. 36, Cass Business School Research Paper
Number of pages: 28 Posted: 10 Oct 2006
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 3,876 (4,262)
Citation 1

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synthetic fund, dynamic trading, correlation, skewness, asset allocation

10.

Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach

Cass Business School Research Paper, Journal of Derivatives and Hedge Funds, Vol. 15, No. 2, pp. 91-115, 2009
Number of pages: 33 Posted: 10 May 2004
Ryan J. Davies, Harry M. Kat and Sa Lu
Babson College - Finance Division, Independent and ISMA Centre, University of Reading
Downloads 3,699 (4,623)
Citation 15

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Hedge funds, asset allocation, diversification, skewness, kurtosis, optimisation

11.

Portfolios of Hedge Funds: What Investors Really Invest in

Cass Business School Research Paper
Number of pages: 22 Posted: 15 Jan 2002
Harry M. Kat and Gaurav S. Amin
Independent and Albourne Partners
Downloads 2,773 (7,420)

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Hedge fund, portfolio, diversification, survivorship bias, efficiency

12.

Who Should Buy Hedge Funds? The Effects of Including Hedge Funds in Portfolios of Stocks and Bonds

Cass Business School Research Paper
Number of pages: 20 Posted: 16 Mar 2002
Harry M. Kat and Gaurav S. Amin
Independent and Albourne Partners
Downloads 2,677 (7,838)
Citation 1

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Hedge funds, diversification, skewness, kurtosis, portfolio

13.

Superstars or Average Joes? A Replication-Based Performance Evaluation of 1917 Individual Hedge Funds

Alternative Investment Research Centre Working Paper No. 30, Cass Business School Research Paper
Number of pages: 30 Posted: 07 Feb 2006
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 2,608 (8,191)
Citation 5

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Hedge funds, performance evaluation, return replication

14.

Managed Futures and Hedge Funds: A Match Made in Heaven

Cass Business School Research Paper
Number of pages: 24 Posted: 21 Nov 2002
Harry M. Kat
Independent
Downloads 2,570 (8,370)
Citation 3

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15.

Welcome to the Dark Side: Hedge Fund Attrition and Survivorship Bias Over the Period 1994-2001

Cass Business School Research Paper
Number of pages: 40 Posted: 17 Dec 2001
Harry M. Kat and Gaurav S. Amin
Independent and Albourne Partners
Downloads 2,555 (8,437)
Citation 14

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Hedge fund, attrition, survivorship bias

16.

An Excursion into the Statistical Properties of Hedge Fund Returns

Cass Business School Research Paper
Number of pages: 26 Posted: 17 May 2002
Harry M. Kat and Sa Lu
Independent and ISMA Centre, University of Reading
Downloads 2,319 (9,876)
Citation 32

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17.

Stocks, Bonds and Hedge Funds: Not a Free Lunch!

Cass Business School Research Paper
Number of pages: 20 Posted: 17 May 2002
Harry M. Kat and Gaurav S. Amin
Independent and Albourne Partners
Downloads 2,217 (10,635)
Citation 13

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Hedge funds, asset allocation, diversification, skewness, kurtosis, optimization, mean-variance

18.

Persistence in Hedge Fund Performance: The True Value of a Track Record

Cass Business School Research Paper
Number of pages: 21 Posted: 20 May 2002
Harry M. Kat and Faye Menexe
Independent and University of Reading
Downloads 2,122 (11,402)
Citation 13

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19.

How Derivatives Can Help Solve the Pension Fund Crisis

Cass Business School Research Paper
Number of pages: 27 Posted: 04 Aug 2003
Harry M. Kat, Theo P. Kocken and Huub F. van Capelleveen
Independent, Cardano Risk Management and Cardano Risk Management
Downloads 2,040 (12,168)
Citation 1

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Pension fund, derivatives, options, asset-liability management, scenarios

20.

Hedge Fund Indexation the FundCreator Way: Efficient Hedge Fund Indexation Without Hedge Funds

Alternative Investment Research Centre Working Paper No. 38, Cass Business School Research Paper
Number of pages: 17 Posted: 04 Dec 2006
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 2,014 (12,431)
Citation 1

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Hedge fund, FundCreator, Indexation

21.

How to Evaluate a New Diversifier with 10 Simple Questions

Alternative Investment Research Centre Working Paper No. 39, Cass Business School Research Paper
Number of pages: 18 Posted: 28 Nov 2006
Harry M. Kat
Independent
Downloads 1,883 (13,768)
Citation 1

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Diversification, alternative investments, hedge funds, commodities, synthetic funds

22.

In Search of the Optimal Fund of Hedge Funds

Cass Business School Research Paper
Number of pages: 25 Posted: 21 Nov 2002
Harry M. Kat
Independent
Downloads 1,842 (14,289)
Citation 2

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Hedge fund, fund of funds, skewness, put option, leverage

23.

Fundcreator: Reply to the Critics

Number of pages: 14 Posted: 02 Oct 2007 Last Revised: 06 Jun 2016
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 1,704 (16,129)

Abstract:

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Hedge fund, synthetic fund, replication

24.

The Dangers of Mechanical Investment Decision-Making: The Case of Hedge Funds

Cass Business School Research Paper
Number of pages: 22 Posted: 14 Dec 2003
Harry M. Kat
Independent
Downloads 1,538 (18,815)
Citation 1

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Hedge Funds, Investment, Mean-Variance, Skewness, Alternative Investments

25.

FundCreator-Based Evaluation of Hedge Fund Performance

Alternative Investment Research Centre Working Paper No. 0040
Number of pages: 39 Posted: 21 Feb 2007
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 1,392 (21,900)
Citation 4

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Hedge fund, fund of funds, performance evaluation, replication

26.

Synthetic Funds and the Mongolian Barbeque

Alternative Investment Research Centre Working Paper No. 34, Cass Business School Research Paper
Number of pages: 13 Posted: 30 Aug 2006
Harry M. Kat
Independent
Downloads 1,365 (22,549)

Abstract:

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Synthetic fund, hedge fund, portfolio management, asset allocation

27.

Strategic Interest Rate Hedges, or How Derivatives Can Help Solve the Pension Fund Crisis Part Ii

Alternative Investment Research Centre Working Paper No. 0024, Cass Business School Research Paper
Number of pages: 22 Posted: 16 Sep 2005
Harry M. Kat, Theo P. Kocken and Janwillem Engel
Independent, Cardano Risk Management and Cardano Risk Management
Downloads 1,338 (23,242)

Abstract:

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Pension fund, swap, swaption, hedging, interest rate risk

28.

Generalization of the Sharpe Ratio and the Arbitrage-Free Pricing of Higher Moments

Cass Business School Research Paper
Number of pages: 20 Posted: 20 May 2002
Harry M. Kat and Gaurav S. Amin
Independent and Albourne Partners
Downloads 1,189 (27,697)

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29.

Taking the Sting Out of Hedge Funds

Cass Business School Research Paper
Number of pages: 25 Posted: 21 Nov 2002
Harry M. Kat
Independent
Downloads 1,066 (32,433)
Citation 1

Abstract:

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hedge funds, skewness, diversification

30.

Why Investors Should Hold Long-Dated Bonds, Even When Interest Rates are Low

Cardano Research Paper
Number of pages: 21 Posted: 16 Sep 2004 Last Revised: 06 Jun 2016
Vincent van Antwerpen, Janwillem Engel, Harry M. Kat and Theo P. Kocken
Cardano Risk Management, Cardano Risk Management, Independent and Cardano Risk Management
Downloads 984 (36,291)

Abstract:

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Interest rates, bonds, yield curve, ALM

31.

Equity-Linked Saving: A New Product Range for Retail Investors

ISMA Centre Finance Discussion Paper No. 2000-11, Cass Business School Research Paper
Number of pages: 39 Posted: 23 Jan 2001
Harry M. Kat
Independent
Downloads 890 (41,740)
Citation 2

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Exotic Options, Investments

32.

The Impact of Non-Normality Risks and Tactical Trading on Hedge Fund Alphas

EFA 2003 Glasgow, Journal of Alternative Investments, Vol. 10, No. 4, 2008, https://doi.org/10.3905/jai.2008.705529
Posted: 22 May 2019
Harry M. Kat and Joëlle Miffre
Independent and Audencia Business School

Abstract:

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Hedge funds, performance evaluation, alpha, systematic skewness, systematic kurtosis, tactical asset allocation

33.

What Every Investor Should Know About Commodities, Part I

Journal of Investment Management, Vol. 5, No. 1, First Quarter 2007
Posted: 28 Mar 2007
Harry M. Kat and Roel C. A. Oomen
Independent and Deutsche Bank AG (London)

Abstract:

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Commodities, commodity futures, risk premium, volatility, skewness, kurtosis, autocorrelation

34.

Brick by Brick

Cass Business School Research Paper
Posted: 01 Jun 2001
Harry M. Kat and Ronald C. Heynen
Independent and Bank of America - Market Risk Management

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35.

Tree Surgery

Cass Business School Research Paper
Posted: 01 Jun 2001
Harry M. Kat and Leen T. Verdonk
Independent and MeesPierson Investment Bank

Abstract:

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36.

Lookback Options with Discrete and Partial Monitoring of the Underlying Price.

Applied Mathematical Finance, Vol. 2, No. 4, December 1995, Cass Business School Research Paper
Posted: 01 Jun 2001
Harry M. Kat and Ronald C. Heynen
Independent and Bank of America - Market Risk Management

Abstract:

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37.

Pricing and Hedging International Equity Derivatives

Journal of Derivatives, Vol. 2, No. 2, Winter 1994, Cass Business School Research Paper
Posted: 01 Jun 2001
Harry M. Kat
Independent

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38.

Selective Memory

Cass Business School Research Paper
Posted: 01 Jun 2001
Harry M. Kat and Ronald C. Heynen
Independent and Bank of America - Market Risk Management

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39.

Discrete Partial Barrier Options with a Moving Barrier

Journal of Financial Engineering, Vol. 5, No. 3, September 1996, Cass Business School Research Paper
Posted: 01 Jun 2001
Harry M. Kat and Ronald C. Heynen
Independent and Bank of America - Market Risk Management

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40.

Crossing Barriers

Cass Business School Research Paper
Posted: 01 Jun 2001
Harry M. Kat and Ronald C. Heynen
Independent and Bank of America - Market Risk Management

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41.

Portfolio Insurance: A Comparison of Alternative Strategies

Journal of Financial Engineering, Vol. 2, No. 4, December 1993, Cass Business School Research Paper
Posted: 01 Jun 2001
Harry M. Kat
Independent

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42.

Pricing and Hedging Power Options

Financial Engineering and the Japanese Market, Vol. 3, No. 3, September 1996, Cass Business School Research Paper
Posted: 01 Jun 2001
Harry M. Kat and Ronald C. Heynen
Independent and Bank of America - Market Risk Management

Abstract:

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43.

Modeling S&P 500 Futures Mispricing Using a Neural Network.

The Review of Futures Markets, Vol. 12, No. 2, 1993, Cass Business School Research Paper
Posted: 02 May 2001
Harry M. Kat
Independent

Abstract:

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44.

Volatility Prediction: A Comparison of the Stochastic Volatility, GARCH (1,1) and Egarch (1,1) Models.

Journal of Derivatives, Vol. 2, No. 2, 1994, Cass Business School Research Paper
Posted: 30 Apr 2001
Harry M. Kat and Ronald C. Heynen
Independent and Bank of America - Market Risk Management

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45.

Contingent Premium Options

Journal of Derivatives, Vol. 1, No. 4, Summer 1994, Cass Business School Research Paper
Posted: 15 Mar 2001
Harry M. Kat
Independent

Abstract:

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Derivatives, Exotic Options

46.

Partial Barrier Options

THE JOURNAL OF FINANCIAL ENGINEERING, Volume 3, No. 3, September/December 1994., Cass Business School Research Paper
Posted: 03 Nov 2000
Ronald C. Heynen and Harry M. Kat
Bank of America - Market Risk Management and Independent

Abstract:

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47.

Delta Hedging of S&P 500 Options: Cash Versus Futures Market Execution

Journal of Derivatives, Spring 1996, Cass Business School Research Paper
Posted: 17 May 2000
Harry M. Kat
Independent

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48.

Pricing Lookback Options Using Binomial Trees: An Evaluation

Journal of Financial Engineering, Vol. 4No. 4, December 1995, Cass Business School Research Paper
Posted: 14 May 2000
Harry M. Kat
Independent

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