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Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)
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Madoff fraud, Ponzi scheme, operational risk, due diligence, supervision, hedge funds, bull spread strategy, split strike conversion
portfolio choice, market liquidity risk, mean-variance framework, bid prices
operational risk modeling, correlation and dependence measures, random matrix theory, small samples, ORX database, factor models
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id2802624.
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Market Liquidity Risk, Hedge Funds, Sharpe Ratio, Information Ratio, Kalman Filter, Momentum
Hedge funds, Leverage, Regression style
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