Browsing Rede de Pesquisa e Conhecimento Aplicado by Title "Nonparametric assessment of hedge fund performance"
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Nonparametric assessment of hedge fund performance
2018-04-23We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identifiable stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing ...


