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bayesian inference for hedge strongfundsstrong with stable distribution of
Bayesian inference for
hedge funds with stable
distribution of returns
by Biliana Güner, Svetlozar T. Rachev, Daniel
Edelman, Frank J. Fabozzi
No. 1 | AUGUST 2010
WORKING PAPER SERIES IN ECONOMICS
KIT – University of the State of Baden-Wuerttemberg and
National Laboratory of the Helmholtz Association
Impressum
Karlsruher Institut für Technologie (KIT)
Fakultät für Wirtschaftswissenschaften
Institut für Wirtschaftspolitik und Wirtschaftsforschung (IWW)
Institut für Wirtschaftstheorie und Statistik (ETS)
Schlossbezirk 12
76131 Karlsruhe
KIT – Universität des Landes Baden-Württemberg und
nationales Forschungszentrum in der Helmholtz-Gemeinschaft
Working Paper Series in Economics
No. 1, August 2010
ISSN 2190-9806
econpaper
Bayesian inference for hedge funds with stable
distribution of returns
¨
Biliana Guner , Svetlozar T. Rachev ,
Daniel Edelman, and Frank J. Fabozzi
Abstract
Recently, a body of academic literature has focused on the area of stable dis-
tributions and their application potential for improving our understanding of the
risk of hedge funds. At the same time, research has sprung up that applies stan-
dard Bayesian methods to hedge fund evaluation. Little or no academic attention
has been paid to the combination of these two topics. In this paper, we consider
Bayesian inference for alpha-stable distributions with particular regard to hedge
fund performance and risk assessment. Aft
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