✦ LIBER ✦

Value at risk and the cross-section of hedge fund returns

✍ Scribed by Turan G. Bali; Suleyman Gokcan; Bing Liang

Book ID: 118470620
Publisher: Elsevier Science
Year: 2007
Tongue: English
Weight: 272 KB
Volume: 31
Category: Article
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2006.10.005

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Liquidity risk and the cross-section of

Liquidity risk and the cross-section of hedge-fund returns

✍ Ronnie Sadka 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 466 KB

Systematic risk and the cross section of

Systematic risk and the cross section of hedge fund returns

✍ Turan G. Bali; Stephen J. Brown; Mustafa Onur Caglayan 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 415 KB

The Performance of Hedge Funds: Risk, Re

The Performance of Hedge Funds: Risk, Return, and Incentives

✍ Carl Ackermann; Richard McEnally; David Ravenscraft 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 173 KB

Assessing and valuing the nonlinear stru

Assessing and valuing the nonlinear structure of hedge fund returns

✍ Antonio Diez De Los Rios; René Garcia 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 179 KB

Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of traded options or piece-wise linear regressions. This paper provides a statistical methodology to unveil such nonlinear features wit

Style analysis and Value-at-Risk of Asia

Style analysis and Value-at-Risk of Asia-focused hedge funds

✍ Haijie Weng; Stefan Trück 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 736 KB

Risk and the cross section of stock retu

Risk and the cross section of stock returns

✍ Radu Burlacu; Patrice Fontaine; Sonia Jimenez-Garcès; Mark S. Seasholes 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 343 KB