Valuation of Hedge Funds Portfolios in a Downside Risk Framework

16 Pages Posted: 1 Aug 2008  

Chokri Mamoghli

Institut Supérieur de Gestion

Sami Daboussi

University of Tunis - Faculty of Law, Economics and Management of Jendouba

Date Written: August 1, 2008

Abstract

The purpose of this paper is to extend the capital asset pricing models in the downside risk framework to hedge funds universe in order to take into account the asymmetry of returns of these funds and the risk perception of investors. The empirical evidence based on Credit Suisse/Tremont Hedge Fund database shows that the capital asset pricing models in a downside risk framework, especially the D-CAPM, describe better the valuation of hedge funds portfolios.

Keywords: Asymmetric returns, Downside risk, D-CAPM, Hedge Funds, MLPM model

JEL Classification: G 12

Suggested Citation

Mamoghli, Chokri and Daboussi, Sami, Valuation of Hedge Funds Portfolios in a Downside Risk Framework (August 1, 2008). Available at SSRN: https://ssrn.com/abstract=1194282 or http://dx.doi.org/10.2139/ssrn.1194282

Chokri Mamoghli

Institut Supérieur de Gestion ( email )

Campus Universitaire
Le Bardo 2000
Tunis, TN El Manar 2000
Tunisia

Sami Daboussi (Contact Author)

University of Tunis - Faculty of Law, Economics and Management of Jendouba ( email )

Tunisia

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