Teiletche, Jérôme; Pochon, Florent - Université Paris-Dauphine (Paris IX) - 2006
peripheral assets are chosen to be the major hedge funds strategies over the period 1990-2004. This methodology has several … advantages given specific features of hedge funds returns, notably non-linear exposure to standard assets returns and short … certain extent to a form of selection bias. An application of this methodology to stress tests on hedge funds portfolios is …