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    • Nonparametric assessment of hedge fund performance 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym; Garcia, René
      2018-04-23
      We 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 ...