Browsing FGV EPGE - Teses, Doutorado em Economia by Subject "Fundos hedge"
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Applications of nonlinear stochastic discount factors in performance analysis and tail risk
2018-04-12We 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 ...


