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HFSimulator
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| HFSimulator_v.2003
software simulates a portfolio with hedge funds by accounting
for historical extreme returns of each hedge funds. The historical
extreme hedge fund returns are fitted with two normal distributions.
These two normal distributions allow to simulate some bad
outcomes for each hedge funds and to see the reaction of the
portfolio. The historical correlation between the hedge funds
are kept for the simulation.
The simulation available on the markets are not able to
simulate extreme negative returns. HFSimulator_v.2003 software
is doing that. The hedge funds have significant skewness
or kurtosis and they have poor linear relationship with
classical indices. HFSimulator_v.2003 software uses mean,
variance, skewness, kurtosis of each hedge fund in order
to simulate the future portfolio returns. |
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