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- W3125909716 abstract "It is widely known that many hedge fund return series display significant skewness, kurtosis, and serial dependence. In addition, many hedge funds claim that their return distributions are not normal due to the use of derivatives, short sales, and rebalancing rules. Although these departures from normality do not typically invalidate the application of mean-variance analysis to portfolio formation, they often lead to higher exposure to loss than implied by the assumption of normality. I use simulation techniques to quantify the miscalculation of exposure to loss for 31 Hedge Fund Research return series. Moreover, I measure these errors for both end of horizon and within-horizon probability of loss." @default.
- W3125909716 created "2021-02-01" @default.
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- W3125909716 date "2004-10-08" @default.
- W3125909716 modified "2023-09-26" @default.
- W3125909716 title "The Impact of Higher Moments on Hedge Fund Risk Exposure" @default.
- W3125909716 hasPublicationYear "2004" @default.
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