Upside and downside risk with a benchmark
β Scribed by Luisa Tibiletti; Simone Farinelli
- Book ID
- 105530432
- Publisher
- Springer US
- Year
- 2003
- Tongue
- English
- Weight
- 77 KB
- Volume
- 31
- Category
- Article
- ISSN
- 0197-4254
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract This study analyzes the problem of multiβcommodity hedging from the downside risk perspective. The lower partial moments (LPM~2~)βminimizing hedge ratios for the stylized hedging problem of a typical Texas panhandle feedlot operator are calculated and compared with hedge ratios implied
## 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