𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds

✍ Scribed by André Lucas; Arjen Siegmann


Book ID
111105896
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
609 KB
Volume
35
Category
Article
ISSN
0306-686X

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


A comparison of alternative approaches f
✍ 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