On Measuring Hedge Fund Risk
12 Pages Posted: 28 Mar 2008 Last revised: 16 Apr 2008
Date Written: March 27, 2008
Hedge fund returns have scarce observations, and from the data one can successfully estimate the joint laws of the return with each of risk driving factors but cannot estimate higher-dimensional joint laws. We propose a methodology to recover from this information the conditional mean of the hedge fund return given all the factors.
A longer and more mathematical version of this paper can be found on SSRN under the name On measuring risk with scarce observations.
Keywords: Gussian copula, hedge fund replication, hedge fund risk
JEL Classification: G29
Suggested Citation: Suggested Citation