Show simple item record

A conditional approach to hedge fund risks

dc.contributor.authorTeiletche, Jérôme
dc.contributor.authorPochon, Florent
dc.date.accessioned2009-07-02T14:35:38Z
dc.date.available2009-07-02T14:35:38Z
dc.date.issued2006
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/682
dc.language.isoenen
dc.subjectRisken
dc.subjectStandard deviationsen
dc.subjectHedging (finance)en
dc.subjectMutual fundsen
dc.subjectHedge fundsen
dc.subjectFinanceen
dc.subject.ddc332en
dc.subject.classificationjelG11en
dc.titleA conditional approach to hedge fund risksen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis article applies a two-step conditional Bayesian approach to hedge fund risk. First, a mixture or-two normal distributions is estimated for a core asset; one distribution being identified as linked to a "quiet" regime and the other to a "hectic" regime. The conditional probabilities of each regime are then inferred and a mixture of distributions is deduced for peripheral assets. The core asset is alternatively chosen as the S&P index or the Baa/Treasuries yield spread whereas the peripheral assets are chosen to be the major hedge funds strategies over the period 1990-2004. This methodology has several advantages given specific features of hedge funds returns, notably non-linear exposure to standard assets returns and short sample history. Significant changes in the distribution (mean and standard deviation) of hedge fund returns are identified across regimes. Results are less clear-cut for the correlation with standard assets, as modifications can be imputed to a certain extent to a form of selection bias. An application of this methodology to stress tests on hedge funds portfolios is presented.en
dc.relation.isversionofjnlnameThe Journal of Alternative Investments
dc.relation.isversionofjnlvol9en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2006
dc.relation.isversionofjnlpages64-77en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherInstitutional investor inc.en
dc.subject.ddclabelEconomie financièreen


Files in this item

Thumbnail
Name:
Conditionnal_approach_teiletche.pdf
Size:
178.5Kb
Format:
PDF
View/Open

This item appears in the following Collection(s)

Show simple item record