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The performance of hedge funds in the presence of errors in variables

Coën, Alain; Desfleurs, Aurélie; Hübner, Georges; … - In: Hedge funds : insights in performance measurement, risk …, (pp. 381-401). 2005

Persistent link: https://www.econbiz.de/10003138068

The impact of illiquidity and higher moments of edge fund returns on their risk-adjusted performance and diversification potential

Cavenaile, Laurent; Coën, Alain; Hübner, Georges - In: The journal of alternative investments 13 (2010/11) 4, pp. 9-29

Persistent link: https://www.econbiz.de/10009008651

Dynamic hedge fund style analysis with errors-in-variables

Bodson, Laurent; Coën, Alain; Hübner, Georges - In: The journal of financial research 33 (2010) 3, pp. 201-221

Persistent link: https://www.econbiz.de/10008939355

Risk and performance estimation in hedge funds revisited : evidence from errors in variables

Coën, Alain; Hübner, Georges - In: Journal of empirical finance 16 (2009) 1, pp. 112-125

Persistent link: https://www.econbiz.de/10003800544

Selective linear segmentation for detecting relevant parameter changes

Dufays, Arnaud; Houndetoungan, Elysee Aristide; Coën, Alain - 2019

Persistent link: https://www.econbiz.de/10012103349

Selective linear segmentation for detecting relevant parameter changes

Dufays, Arnaud; Houndetoungan, Elysee Aristide; Coën, Alain - In: Journal of financial econometrics 20 (2022) 4, pp. 762-805

Persistent link: https://www.econbiz.de/10013349153

The Impact of Illiquidity and Higher Moments of Hedge Fund Returns on Their Risk-Adjusted Performance and Diversification Potential

Cavenaile, Laurent - 2011

This paper studies the joint impact of smoothing and fat tails on the risk-return properties of hedge fund strategies. First, we adjust risk and performance measures for illiquidity and the non-Gaussian distribution of hedge funds returns. We use two risk metrics: the Modified Value-at-Risk and...

Persistent link: https://www.econbiz.de/10013134217