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On measuring nonlinear risk with scarce observations

Author

Listed:
  • Alexander Cherny

    ()

  • Raphael Douady

    ()

  • Stanislav Molchanov

    ()

Abstract

No abstract is available for this item.

Suggested Citation

  • Alexander Cherny & Raphael Douady & Stanislav Molchanov, 2010. "On measuring nonlinear risk with scarce observations," Finance and Stochastics, Springer, vol. 14(3), pages 375-395, September.
  • Handle: RePEc:spr:finsto:v:14:y:2010:i:3:p:375-395
    DOI: 10.1007/s00780-009-0107-y
    as

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    File URL: http://hdl.handle.net/10.1007/s00780-009-0107-y
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    References listed on IDEAS

    as
    1. Fung, William & Hsieh, David A, 2001. "The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 313-341.
    2. Vikas Agarwal, 2004. "Risks and Portfolio Decisions Involving Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 17(1), pages 63-98.
    3. Rosen, Dan & Saunders, David, 2009. "Analytical methods for hedging systematic credit risk with linear factor portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 37-52, January.
    4. Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 275-302.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Factor risk; Gaussian copula; Hedge fund replication; Hedge fund risk; Nonlinear risk; 60E99; 91B28; 91B30; C35; G29;

    JEL classification:

    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other

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