𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Hedge Fund Risk Dynamics: Implications for Performance Appraisal

✍ Scribed by NICOLAS P.B. BOLLEN; ROBERT E. WHALEY


Book ID
109176580
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
877 KB
Volume
64
Category
Article
ISSN
0022-1082

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


A comparison of alternative approaches f
✍ 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