Is the Sortino Ratio an effective comparative risk measure? Explore its nuances, advantages, and limitations in our latest article.
Based on the Markowitz’s mean-variance model, the Capital Asset Pricing Model (CAPM) inherits all the shortcomings of the
The Markowitz’s mean-variance methodology is hardly applicable for hedge fund risk assessment. Since its introduction, the mean-variance methodology
Typical mistakes in hedge fund valuation and risk assessment arise from neglecting their unique properties: non-normal return distributions,