A model-free identification of relative risk
Abstract
We propose a novel approach of identifying the relative risk of portfolios (e.g. hedge funds) when the model of returns is unknown but assumed linear in parameters. We demonstrate how to rank funds in terms of loadings on unobserved...
Paper Details
Title
A model-free identification of relative risk
Published Date
May 1, 2020
Journal
Volume
190
Pages
109078 - 109078
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