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Managing Hedge Fund Risk and Financing (Adapting to a New Era) || A Survey of Hedge Fund Strategies and Risks

✍ Scribed by Belmont, David P.


Book ID
120221474
Publisher
John Wiley & Sons (Asia) Pte. Ltd.
Year
2012
Tongue
English
Weight
358 KB
Edition
1
Category
Article
ISBN
0470827262

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## 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