A comparison of alternative approaches f
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Daniel Giamouridis; Ioanna Ntoula
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Article
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2009
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John Wiley and Sons
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English
β 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 modelβfree and mean/variance and distribution modelβbased methods. Certain specification