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- W2087811394 abstract "This article discusses estimation of value at risk (VaR) in the context of alternative investments. The diverse return distributions of alternative investments raise both opportunities and challenges for value at risk. The opportunities arise from the inadequacy of traditional risk measures such as volatility and beta to capture the risks of alternative investments. The challenges arise from the difficulty of estimating VaR when return distributions are not well understood and/or trading strategies are dynamic. <b>TOPICS:</b>Real assets/alternative investments/private equity, VAR and use of alternative risk measures of trading risk" @default.
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- W2087811394 date "2013-12-31" @default.
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- W2087811394 title "Understanding the Estimation Risks of Value at Risk" @default.
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- W2087811394 doi "https://doi.org/10.3905/jai.2013.16.3.064" @default.
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