RISK MEASUREMENT OF INVESTMENTS IN THE SATELLITE RING OF A CORE-SATELLITE PORTFOLIO: TRADITIONAL VERSUS ALTERNATIVE APPROACHES

Hilary Till ()
Additional contact information
Hilary Till: Premia Risk Consultancy, Inc., Chicago, USA

The Singapore Economic Review (SER), 2004, vol. 49, issue 01, 105-130

Abstract: This paper provides a risk framework for fiduciaries by considering using a core-satellite approach to investing. While the article mainly covers the additional risk measurement techniques, which are needed when investing in hedge funds, its recommendations are also relevant for other investments that have default, devaluation, and/or liquidity risks associated with them. Also, while the article's focus is on quantitative techniques, we note that a fiduciary must also understand the economic basis for each investment's returns.

Keywords: Sharpe ratio; Hedge funds; Risk measurement; Asymmetric risk (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0217590804000822
Access to full text is restricted to subscribers

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:wsi:serxxx:v:49:y:2004:i:01:n:s0217590804000822

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0217590804000822

Access Statistics for this article

The Singapore Economic Review (SER) is currently edited by Euston Quah

More articles in The Singapore Economic Review (SER) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().