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Do hedge funds have enough capital? A value-at-risk approach

✍ Scribed by Anurag Gupta; Bing Liang


Book ID
113710749
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
359 KB
Volume
77
Category
Article
ISSN
0304-405X

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## Abstract The non‐normality of financial asset returns has important implications for hedging. In particular, in contrast with the unambiguous effect that minimum‐variance hedging has on the standard deviation, it can actually increase the negative skewness and kurtosis of hedge portfolio returns