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