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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

LIQUIDITY RISK - THE IMPACT OF ILLIQUIDITY AND HIGHER MOMENTS OF HEDGE FUND RETURNS ON THEIR RISK-ADJUSTED PERFORMANCE AND DIVERSIFICATION POTENTIAL

Cavenaile, Laurent; Coën, Alain; Hübner, Georges - In: The journal of alternative investments 13 (2011) 4, pp. 9-30

Persistent link: https://www.econbiz.de/10008997361

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