… Let σ2 i be the variance of asset i, σij be the covariance between assets i and j and Σ be the
… Assume that we have equal correlations for every couple of variables, that is ρi,j = ρ for all i, j. …

The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions
on the JPY/USD parity during the period 1992–2004. The novelty of our approach is to …

Alternative assets are gaining increasing importance in investors' portfolios. One of their
defining characteristic is their poor liquidity, which often translates into an inherent smoothing …

We compare the performance of several Value-at-Risk (VaR) models when applied to a high-frequency
hedge fund index. Our analysis is carried out on the Barclay/Calyon CTA daily …

In this study, we apply a two-step conditional Bayesian approach to hedge fund risk. In the
first step, a mixture of two normal distributions is estimated for a core asset, one distribution …

Over the last decade, emerging sovereign bond markets have become an important source
of diversification of portfolios for global investors. According to IIF data, between 1995 and …

Hedge fund replication is one of the best-known innovations of the asset management
industry in the recent years. Despite some early skepticism from both practitioners and the …

Que sait-on aujourd'hui quant au rôle des hedge funds dans la crise des « subprimes » ?
Pour les auteurs de cet article, plus que les responsables de la crise des crédits structurés, les …

… 17 The market risk of funds of hedge funds: a conditional approach Florent Pochon and
Jérôme Teïletche Abstract We propose a Bayesian approach based on mixtures of normal …

Hedge fund replication based on factor models is encountering growing interest. In this
paper, we investigate the implications of substituting standard rolling windows regressions, …