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On measuring nonlinear risk with scarce observations

By Alexander Cherny, Raphael Douady and Stanislav Molchanov

Abstract

Factor risk, Gaussian copula, Hedge fund replication, Hedge fund risk, Nonlinear risk, 60E99, 91B28, 91B30, C35, G29,

DOI identifier: 10.1007/s00780-009-0107-y
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