A fully parametric approach to return modelling and risk management of hedge funds
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- Eling, Martin & Schuhmacher, Frank, 2007. "Does the choice of performance measure influence the evaluation of hedge funds?," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2632-2647, September.
- Gupta, Anurag & Liang, Bing, 2005. "Do hedge funds have enough capital? A value-at-risk approach," Journal of Financial Economics, Elsevier, vol. 77(1), pages 219-253, July.
- Martin Eling, 2006. "Performance measurement of hedge funds using data envelopment analysis," Financial Markets and Portfolio Management, Springer, vol. 20(4), pages 442-471, December.
- Ying Chen & Wolfgang HaÌˆrdle & Seok-Oh Jeong, 2004.
"Nonparametric Risk Management with Generalized Hyperbolic Distributions,"
SFB 649 Discussion Papers
SFB649DP2005-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Chen, Ying & HÃ¤rdle, Wolfgang & Jeong, Seok-Oh, 2008. "Nonparametric Risk Management With Generalized Hyperbolic Distributions," Journal of the American Statistical Association, American Statistical Association, vol. 103(483), pages 910-923.
- Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-24, October.
- Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005.
"Systemic Risk and Hedge Funds,"
NBER Working Papers
11200, National Bureau of Economic Research, Inc.
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