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 …

lab experimental practice: In one task, attitude towards risk is measured, in another task participants behave in a way … that can possibly be explained by their risk attitude. How should we deal with inconsistent behaviour in the risk task …

In this paper we expand the literature of risk neutral density estimation across maturities from implied volatility … curves, usually estimated and interpolated through cubic smoothing splines. The risk neutral densities are computed through … implied curves and risk neutral densities not only across different option maturities, but also dynamically …