Achim Peijan

UBS Wealth Managment Research

Executive Director

Zurich, CH-8098

Switzerland

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Measuring Loss Potential of Hedge Fund Strategies

Journal of Alternative Investments, Vol. 7, No. 1, pp. 7-31, Summer 2004
Number of pages: 25 Posted: 04 Jan 2005
Marcos Lopez de Prado and Achim Peijan
Cornell University - Operations Research & Industrial Engineering and UBS Wealth Managment Research
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Abstract:

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Hedge Fund, Value-at-Risk, risk, performance, drawdown, under-the-water, normal returns, non-normal returns, time-dependence, ARMA, Monte Carlo, skewness, kurtosis, mixture of gaussian distributions, survival probability, styles, investment strategies