Browsing Documentos publicados nas Revistas da Fundação Getulio Vargas by Title "An SDF approach to hedge funds' tail risk: evidence from Brazilian funds"
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An SDF approach to hedge funds' tail risk: evidence from Brazilian funds
2017-05-25The 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 \citet*{ag15} and \citet*{aagvg15}, which rely in solving dual ...


