Valuation of Hedge Funds Portfolios in a Downside Risk Framework
Institut Supérieur de Gestion
University of Tunis - Faculty of Law, Economics and Management of Jendouba
August 1, 2008
The purpose of this paper is to extend the capital asset pricing models in the downside risk framework to hedge funds universe in order to take into account the asymmetry of returns of these funds and the risk perception of investors. The empirical evidence based on Credit Suisse/Tremont Hedge Fund database shows that the capital asset pricing models in a downside risk framework, especially the D-CAPM, describe better the valuation of hedge funds portfolios.
Number of Pages in PDF File: 16
Keywords: Asymmetric returns, Downside risk, D-CAPM, Hedge Funds, MLPM model
JEL Classification: G 12working papers series
Date posted: August 1, 2008
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo6 in 1.125 seconds