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Higher-moment risk exposures in hedge funds

Hübner, Georges; Lambert, Marie; Papageorgiou, Nicolas A. - In: European financial management : the journal of the … 21 (2015) 2, pp. 236-264

Persistent link: https://www.econbiz.de/10010516684

Funds of hedge funds: bias and persistence in returns

Capocci, Daniel; Hübner, Georges - In: Funds of hedge funds : performance, assessment, …, (pp. 27-43). 2006

Persistent link: https://www.econbiz.de/10003377569

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

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

The market timing skills of hedge funds during the financial crisis

Cave, Arnaud; Hübner, Georges; Sougne, Danielle - In: Managerial finance 38 (2012) 1, pp. 4-26

Persistent link: https://www.econbiz.de/10009488363

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

Hedge fund performance and persistence in bull and bear markets

Capocci, Daniel; Corhay, Albert; Hübner, Georges - In: The European journal of finance 11 (2005) 5, pp. 361-392

Persistent link: https://www.econbiz.de/10003183226

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

Analysis of hedge fund performance

Capocci, Daniel; Hübner, Georges - In: Journal of empirical finance 11 (2004) 1, pp. 55-89

Persistent link: https://www.econbiz.de/10001880995

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