Browsing FGV EPGE - Teses, Doutorado em Economia by Subject "Hedging (Finanças)"

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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 ...

    • Three Essays in macro-finance 

      Valente, João Paulo
      2019-12-20
      This dissertation consists of three essays in Macro-Finance. The first two papers study tail risk in the hedge fund industry, and the last paper investigates the effects of fiscal irresponsibility in a monetary union under ...