Abstract

http://ssrn.com/abstract=1194282
 
 

References (28)



 


 



Valuation of Hedge Funds Portfolios in a Downside Risk Framework


Chokri Mamoghli


Institut Supérieur de Gestion

Sami Daboussi


University of Tunis - Faculty of Law, Economics and Management of Jendouba

August 1, 2008


Abstract:     
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 12

working papers series





Download This Paper

Date posted: August 1, 2008  

Suggested Citation

Mamoghli, Chokri and Daboussi, Sami, Valuation of Hedge Funds Portfolios in a Downside Risk Framework (August 1, 2008). Available at SSRN: http://ssrn.com/abstract=1194282 or http://dx.doi.org/10.2139/ssrn.1194282

Contact Information

Chokri Mamoghli
Institut Supérieur de Gestion ( email )
Campus Universitaire
Le Bardo 2000
Tunis, El Manar 2000
Tunisia
Sami Daboussi (Contact Author)
University of Tunis - Faculty of Law, Economics and Management of Jendouba ( email )
Tunisia
Feedback to SSRN


Paper statistics
Abstract Views: 873
Downloads: 200
Download Rank: 91,243
References:  28

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 0.344 seconds