Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Subject "Fundos hedge"

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Applications of nonlinear stochastic discount factors in performance analysis and tail risk

Ardison, Kym Marcel Martins
2018-04-12

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 ...
An SDF approach to hedge funds’ tail risk: evidence from Brazilian funds

Leal, Laura Simonsen
2016-03-21

The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by Almeida and Garcia (2015) and Almeida, Ardison, Garcia, and Vicente ...