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Risk Measurement Of Investments In The Satellite Ring Of A Core-Satellite Portfolio: Traditional Versus Alternative Approaches

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  • HILARY TILL

    (Premia Risk Consultancy, Inc., Chicago, USA)

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.

Suggested Citation

  • Hilary Till, 2004. "Risk Measurement Of Investments In The Satellite Ring Of A Core-Satellite Portfolio: Traditional Versus Alternative Approaches," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 49(01), pages 105-130.
  • Handle: RePEc:wsi:serxxx:v:49:y:2004:i:01:n:s0217590804000822
    DOI: 10.1142/S0217590804000822
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    References listed on IDEAS

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    1. William Goetzmann & Jonathan Ingersoll & Matthew I. Spiegel & Ivo Welch, 2002. "Sharpening Sharpe Ratios," NBER Working Papers 9116, National Bureau of Economic Research, Inc.
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