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

Now showing items 1-9 of 9

    • 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 ...

    • Ensaios sobre o fator estocástico de descontos 

      Araújo, Fabio
      2009-08-10
      This work proposes alternative ways to consistently estimate an abstract measure, crucial to the study of intertemporal decisions, which is at the core of most macroeconomics and financial studies: the Stochastic Discount ...

    • Equilíbrio em mercados de ativos com aversão a incerteza 

      Madalena, Adauto Francisco Santos
      1990-01-18
      Este trabalho procurará de início explicitar detalhadamente o comportamento do investidor avesso a incerteza quando atua isoladamente na economia. Dirigir-se-á, em seguida, no sentido de determinar o comportamento do preço ...

    • Essays in applied microeconomics 

      Michon Junior, William
      2015-07-13
      Esta tese é composta de três artigos. No primeiro artigo, ``Risk Taking in Tournaments', é considerado um torneio dinâmico no qual jogadores escolhem como alocar seu tempo em atividades que envolvem risco. No segundo artigo, ...

    • Essays in empirical finance 

      Faria, Adriano Augusto de
      2017-03-16
      This thesis is a collection of essays in empirical finance mainly focused on term structure models. In the first three chapters, we developed methods to extract the yield curve from government and corporate bonds. We measure ...

    • Essays on asset pricing and option valuation 

      Freire, Gustavo Bulhões Carvalho da Paz
      2020-12-21
      Esta tese é composta por quatro ensaios sobre precificação de ativos e opções. O primeiro ensaio estuda a precificação de opções de índice no contexto de mercados incompletos. Um novo método é fornecido para construir ...

    • Essays on regulation and risk 

      Martins, Régio Soares Ferreira
      2010-08-30
      In this thesis, we investigate some aspects of the interplay between economic regulation and the risk of the regulated firm. In the first chapter, the main goal is to understand the implications a mainstream regulatory ...

    • Three essays on macro-finance: robustness and portfolio theory 

      Guimarães, Pedro Henrique Engel
      2017-07-28
      This doctoral thesis is composed of three chapters related to portfolio theory and model uncertainty. The first paper investigates how ambiguity averse agents explain the equity premium puzzle for a large group of countries ...

    • Three essays on the estimation of asset pricing models 

      Brandão, Diego Gusmão
      2016-09-23
      The thesis consists in three articles about the estimation of asset pricing models. The first paper analyses small sample properties of Generalized Empirical Likelihood estimators for the risk aversion parameter in CRRA ...