Esta tese é composta por quatro ensaios sobre precificação de ativos e opções. O primeiro ensaio estuda a precificação de opções de índice no contexto de mercados incompletos. Um novo método é fornecido para construir ...

We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identi able stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing restrictions ...

This doctoral thesis is composed of three chapters related to portfolio theory and model uncertainty. The first paper investigates how ambiguity averse agents explain the equity premium puzzle for a large group of countries ...

This thesis is a collection of essays in empirical finance mainly focused on term structure models. In the first three chapters, we developed methods to extract the yield curve from government and corporate bonds. We measure ...

The thesis consists in three articles about the estimation of asset pricing models. The first paper analyses small sample properties of Generalized Empirical Likelihood estimators for the risk aversion parameter in CRRA ...

Esta tese é composta de três artigos. No primeiro artigo, ``Risk Taking in Tournaments', é considerado um torneio dinâmico no qual jogadores escolhem como alocar seu tempo em atividades que envolvem risco. No segundo artigo, ...

In this thesis, we investigate some aspects of the interplay between economic regulation and the risk of the regulated firm. In the first chapter, the main goal is to understand the implications a mainstream regulatory ...

This work proposes alternative ways to consistently estimate an abstract measure, crucial to the study of intertemporal decisions, which is at the core of most macroeconomics and financial studies: the Stochastic Discount ...

Este trabalho procurará de início explicitar detalhadamente o comportamento do investidor avesso a incerteza quando atua isoladamente na economia. Dirigir-se-á, em seguida, no sentido de determinar o comportamento do preço ...