𝔖 Bobbio Scriptorium
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A COMPARISON OF SOUTH AFRICAN HEDGE FUND RISK MEASURES

✍ Scribed by Marius Botha

Book ID
118085931
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
330 KB
Volume
75
Category
Article
ISSN
0038-2280

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πŸ“œ SIMILAR VOLUMES

A comparison of alternative approaches f
A comparison of alternative approaches for determining the downside risk of hedge fund strategies
✍ Daniel Giamouridis; Ioanna Ntoula πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 175 KB

## Abstract In this study, we compare a number of different approaches for determining the Value at Risk (VaR) and Expected Shortfall (ES) of hedge fund investment strategies. We compute VaR and ES through both model‐free and mean/variance and distribution model‐based methods. Certain specification