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 …

In the present work I derive the risk functions of 5 standard estimators for expected asset returns which are …-variance estimator, and the CAPM estimator. I resolve the question why it is meaningful to study the risk function in the context of … situations it is better to renounce parameter estimation altogether and pursue some trivial strategy such as the totally risk …