Post by Sapphire Capital on Jul 11, 2008 7:15:28 GMT 4
On Measuring Hedge Fund Risk
ALEXANDER S. CHERNY
Moscow State University
RAPHAEL DOUADY
Affiliation Unknown
STANISLAV A. MOLCHANOV
University of North Carolina at Charlotte
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March 27, 2008
Abstract:
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.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1120371_code629747.pdf?abstractid=1113620&mirid=4
ALEXANDER S. CHERNY
Moscow State University
RAPHAEL DOUADY
Affiliation Unknown
STANISLAV A. MOLCHANOV
University of North Carolina at Charlotte
--------------------------------------------------------------------------------
March 27, 2008
Abstract:
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.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1120371_code629747.pdf?abstractid=1113620&mirid=4