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Recently, a body of academic literature has focused on the area of stable distributions and their application potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard Bayesian methods to hedge fund evaluation. Little or...
Persistent link: https://www.econbiz.de/10008653564
used by portfolio managers in portfolio construction: the marginal VaR and the marginal AVaR. We illustrate the proposed …
Persistent link: https://www.econbiz.de/10009576319