• Media type: E-Book
  • Title: On Measuring Hedge Fund Risk
  • Contributor: Cherny, Alexander S. [Author]; Douady, Raphael [Other]; Molchanov, Stanislav A. [Other]
  • imprint: [S.l.]: SSRN, [2008]
  • Extent: 1 Online-Ressource (12 p)
  • Language: Not determined
  • DOI: 10.2139/ssrn.1113620
  • Identifier:
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 27, 2008 erstellt
  • Description: Hedge fund returns have scarce observations, and from the data one can successfully estimate the joint laws of the return with each of risk driving factors but cannot estimate higher-dimensional joint laws. We propose a methodology to recover from this information the conditional mean of the hedge fund return given all the factors. A longer and more mathematical version of this paper can be found on SSRN under the name On measuring risk with scarce observations
  • Access State: Open Access