Hedge fund returns have scarce observations, and from the data one can successfully estimate the joint laws of the return with each of risk driving factors but cannot estimate higher-dimensional joint laws. We propose a methodology to recover from this information the conditional mean of the...

We investigate a class of concave monetary utility functions, which we call divergence utilities. Divergence utilities are the translation invariant hull of expected utilities. This class is rather wide and includes, in particular, the entropic utility. More important, this class is very...

We consider the problem of measuring the risk of a portfolio with scarce observations by linking it to several risk factors. A typical example is measuring the risk of a hedge fund. It is assumed that from the available data one can estimate the joint law of all the factors as well as all the...