. 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 …

estimation for the portfolio risk. Moreover we study the portfolio selection problem. We compute the marginal VaR and Component …, performance test, to realize the ”costs” of this risk reduction action in terms of potential return suppression. Little …

for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard … performance and risk assessment. After constructing Bayesian estimators for alpha-stable distributions in the context of an ARMA …-GARCH time series model with stable innovations, we compare our risk evaluation and prediction results to the predictions of …

's optimal mean-variance portfolio and the amount of unhedged risk prior to maturity. Solutions assuming the cases where the …