A model-free identification of relative risk

Olga Kuzmina

Economics Letters, 2020, vol. 190, issue C

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 risk.

Keywords: Performance evaluation; Performance attribution; Unobserved risk; Factor models; Hedge funds (search for similar items in EconPapers)
JEL-codes: C18 G10 G23 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176520300768
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:190:y:2020:i:c:s0165176520300768

DOI: 10.1016/j.econlet.2020.109078

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().