Gregor Gawron

RMF Investment Products

Huobstrasse 16

8808 Pfaeffikon SZ

Switzerland

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Fat Tail Risk in Portfolios of Hedge Funds and Traditional Investments

EFMA 2004 Basel Meetings Paper
Number of pages: 29 Posted: 09 May 2004
Jean-Francois Bacmann and Gregor Gawron
RMF Investment Management and RMF Investment Products
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Citation 5

Abstract:

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hedge funds, higher moments, extreme value theory, VaR, Expected shortfall