On Measuring Hedge Fund Risk

12 Pages Posted: 28 Mar 2008 Last revised: 16 Apr 2008

See all articles by Alexander S. Cherny

Alexander S. Cherny

Moscow State University

Raphael Douady

Riskdata; Stony Brook university ; CES Univ. Paris 1

Stanislav A. Molchanov

University of North Carolina (UNC) at Charlotte

Date Written: March 27, 2008

Abstract

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

Cherny, Alexander S. and Douady, Raphael and Molchanov, Stanislav A., On Measuring Hedge Fund Risk (March 27, 2008). Available at SSRN: https://ssrn.com/abstract=1113620 or http://dx.doi.org/10.2139/ssrn.1113620

Alexander S. Cherny (Contact Author)

Moscow State University ( email )

Faculty of Mechanics and Mathematics
Department of Probability Theory
Moscow, 119992
Russia
007 095 939 14 03 (Phone)
007 095 939 14 03 (Fax)

HOME PAGE: http://mech.math.msu.su/~cherny

Raphael Douady

Riskdata ( email )

6, rue de l'Amiral Coligny
Paris, 75001
France

HOME PAGE: http://www.riskdata.com

Stony Brook university ( email )

Stony Brook, NY 11794
United States

CES Univ. Paris 1 ( email )

106 bv de l'Hôpital
Paris, 75013
France

Stanislav A. Molchanov

University of North Carolina (UNC) at Charlotte ( email )

9201 University City Boulevard
Charlotte, NC 28223
United States
704 687 45 73 (Phone)

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