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 …

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

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance … and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong … evidence for regime changes in the risk-return relation. This finding is robust to a large range of specifications. In the …

This article proposes semi-parametric least squares estimation of parametric risk-return relationships, i.e. parametric … variance. We establish consistency and asymptotic normality of the estimates. The theory is non-standard due to the presence of … using non-parametric estimates, we find a positive and significant price of risk in our semi-parametric setting …

risk for the market portfolio is consistent with theory. The granular residual is volatile and less informative about real … activity than our adjusted index, potentially rationalizing lower/zero risk compensation …