HEDGE FUND PERFORMANCE: SOURCES AND MEASURES

DOI10.1142/S0219024909005282zbMath1180.91313OpenAlexW1999807224MaRDI QIDQ3637880

Dilip B. Madan, Ernst Eberlein

Publication date: 14 July 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005282

zbMATH Keywords

skewnessSharpe ratiosinvestment alphaskurtosis in returns

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (8)

Backward stochastic difference equations for dynamic convex risk measures on a binomial tree ⋮ Dynamic conic hedging for competitiveness ⋮ Maximally Acceptable Portfolios ⋮ Acceptability maximization ⋮ Two sided efficient frontiers at multiple time horizons ⋮ Exposure valuations and their capital requirements ⋮ CONIC PORTFOLIO THEORY ⋮ Zero covariation returns

Cites Work

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