Giamouridis, Daniel; Ntoula, Ioanna - In: Journal of Futures Markets 29 (2009) 3, pp. 244-269
In this study, we compare a number of different approaches for determining the Value at Risk (VaR) and Expected Shortfall (ES) of hedge fund investment strategies. We compute VaR and ES through both model‐free and mean/variance and distribution model‐based methods. Certain specifications of...