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The duality of option investment strategies for hedge funds

✍ Scribed by José R. Rodríguez-Mancilla; William T. Ziemba

Publisher
Springer-Verlag
Year
2007
Tongue
English
Weight
385 KB
Volume
113
Category
Article
ISSN
0025-5610

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A comparison of alternative approaches for determining the downside risk of hedge fund strategies
✍ Daniel Giamouridis; Ioanna Ntoula 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 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