On measuring nonlinear risk with scarce observations

Alexander Cherny (), Raphael Douady () and Stanislav Molchanov ()

Finance and Stochastics, 2010, vol. 14, issue 3, 375-395

Keywords: Factor risk; Gaussian copula; Hedge fund replication; Hedge fund risk; Nonlinear risk; 60E99; 91B28; 91B30; C35; G29 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s00780-009-0107-y

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