. Based on the empirical evidence presented in this paper, our framework offers more realistic portfolio risk measures and a … more tractable method for portfolio optimization. -- portfolio risk ; portfolio optimization ; portfolio budgeting …

potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up on standard … performance and risk assessment. We construct Bayesian estimators for alpha-stable distributions in the context of an ARMA …-GARCH time series model with stable disturbances. Our risk evaluation and prediction results are compared to the predictions of a …

. Based on the empirical evidence presented in this paper, our framework offers more realistic portfolio risk measures and a …

. Based on the empirical evidence presented in this paper, our framework offers more realistic portfolio risk measures and a …

the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks … over prevailing models for evaluating stock market risk exposure during distressed market periods. -- ARMA-GARCH model ; α …-stable distribution ; tempered stable distribution ; value-at-risk (VaR) ; average value-at-risk (AVaR) …