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

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

Submitted by Laura Simonsen Leal (arula@fgvmail.br) on 2016-06-22T12:59:34Z No. of bitstreams: 1 laura_tese14(final).pdf: 1036208 bytes, checksum: eac8007047195b00593f30884e72a3e2 (MD5) === Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2016-06-22T13:18:16Z (GMT...

Full description

Bibliographic Details
Main Author: Leal, Laura Simonsen
Other Authors: Glasman, Daniela Kubudi
Language:English
Published: 2016
Subjects:
Asset pricing
Stochastic discount factor
Risk-neutral probability
Hedge funds
Tail risk
Economia
Fundos hedge
Modelo de precificação de ativos
Títulos (Finanças)
Processo estocástico
Risco (Economia)
Online Access:http://hdl.handle.net/10438/16638

Internet

http://hdl.handle.net/10438/16638

Similar Items