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bayesian inference for hedge strongfundsstrong with stable distribution of.pdf

bayesian inference for hedge strongfundsstrong with stable distribution of.pdf

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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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