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

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Author Info
Bali, Turan G.
Gokcan, Suleyman
Liang, Bing
Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VCY-4MG6P7X-3/2/75cc0e61d90553df8c57e53b3899b3d4
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Publisher Info
Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 31 (2007)
Issue (Month): 4 (April)
Pages: 1135-1166
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Handle: RePEc:eee:jbfina:v:31:y:2007:i:4:p:1135-1166

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  1. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
  2. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2007. "Dynamic Risk Exposure in Hedge Funds," Working Papers 2007_17, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
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