Harry M. Kat

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Harry M. Kat
HarryKat.jpg
Nationality Netherlands
Occupation Academic
Investment strategist
Website RePEc
Academic work
Discipline Financial economics
Institutions Alceda Fund Management
Main interests Hedge funds
Commodity markets

Harry M. Kat is a former Professor of Risk Management and Director Alternative Investment Research Centre City University London - Sir John Cass Business School. Currently Kat is a manager of the AC Risk Parity 12 Fund, a German fund domiciled in Luxembourg.[1] The fund utilizes a "fundcreator" replication technique developed by Kat.[2]

Papers

Kat is the author/coauthor of the following most cited works, listed from most to least cited.

Year Study
2001 The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors[3]
2001 Hedge Fund Performance 1990-2000: Do the Money Machines Really Add Value?[4]
2001 Welcome to the Dark Side: Hedge Fund Attrition and Survivorship Bias over the Period 1994-2001[5]
2005 Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication[6]
2005 Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach[7]
2002 Persistence in Hedge Fund Performance: The True Value of a Track Record[8]
2002 Stocks, Bonds and Hedge Funds: Not a Free Lunch![9]

Books

  • Harry M. Kat (September 12, 2001). Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes. Hoboken, NJ: Wiley. pp. 329. ISBN 978-0471486527.

References

  1. "AC Risk Parity 12 Fund fact sheet". http://www.trustnetoffshore.com/Factsheets/Factsheet.aspx?fundCode=EUFK3&univ=DC. Retrieved February 27, 2016.
  2. Kat, Harry M.: Palaro, Helder P. (September 28, 2007). "Fundcreator: Reply to the Critics". SSRN. http://ssrn.com/abstract=1017873.
  3. Kat, Harry M.; Brooks, Chris (October 31, 2001). The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors. Cass Business School Research Paper: SSRN. http://ssrn.com/abstract=289299.
  4. Kat, Harry M.; Amin, Gaurav S. (May 15, 2001). Hedge Fund Performance 1990-2000: Do the Money Machines Really Add Value?. EFMA 2001 Lugano Meetings; Cass Business School Research Paper: SSRN. http://ssrn.com/abstract=270074.
  5. Kat, Harry M.; Amin, Gaurav S. (December 11, 2001). Welcome to the Dark Side: Hedge Fund Attrition and Survivorship Bias over the Period 1994-2001. Cass Business School Research Paper: SSRN. http://ssrn.com/abstract=293828.
  6. Kat, Harry M.; Palaro, Helder P. (November 23, 2005). 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: SSRN. http://ssrn.com/abstract=855424.
  7. Davies, Ryan J.; Kat, Harry M.; Lu, Sa (September 2005). Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach. Cass Business School Research Paper: SSRN. http://ssrn.com/abstract=476862.
  8. Kat, Harry M.; Menexe, Faye (May 6, 2002). [ttp://ssrn.com/abstract=311041 Persistence in Hedge Fund Performance: The True Value of a Track Recor]. Cass Business School Research Paper: SSRN. ttp://ssrn.com/abstract=311041.
  9. Kat, Harry M.; Amin, Gaurav S. (April 9 ,2002). Stocks, Bonds and Hedge Funds: Not a Free Lunch!. Cass Business School Research Paper: SSRN. http://ssrn.com/abstract=310224.

External links