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Risk Management in Hedge Funds
Company: North-West University
Company Url: Click here to open
Year Of Publication: 2005
Month Of Publication: March
Pages: 151
Download Count: 4
View Count: 1510
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 11-24-2011
Publisher: Administrator
Summary
In this new era of hedge funds, more and better risk management is needed and it is the aim of this dissertation to address these issues. In particular, an improved measure of exponentially weighted moving average volatility, a detailed analysis and solution of the differential scaling in time of risk and return and an empirically-tested enhancement of the incorporation of endogenous liquidity risk into value at risk are presented.
Author(s)
Botha, Marius Sign in to follow this author
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