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Managing exchange rate risk by cross-hedging using commodity futures and by diversification
(2020-05-26)
A presente tese investiga estratégias alternativas, ou estratégias que não usam contratos futuros de moeda, para gestão do risco cambial. Os capítulos 1 e 2 investigam o uso de contratos futuros de commodities, ou ...
Nonparametric assessment of hedge fund performance
(2018-04-23)
We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identifiable stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing ...
Hedgings em textos acadêmicos: uma perspectiva de aquisição de L3
(Pontifícia Universidade Católica do Rio Grande do SulPorto Alegre, 2015)
This dissertation deals with the use of hedging strategies, which are considered a linguistic act to intensify or reduce the illocutionary force of scientific statements in academic writing, from the perspective of Third ...
Hedgings em textos acadêmicos: uma perspectiva de aquisição de L3
(Pontifícia Universidade Católica do Rio Grande do SulPorto Alegre, 2015)
This dissertation deals with the use of hedging strategies, which are considered a linguistic act to intensify or reduce the illocutionary force of scientific statements in academic writing, from the perspective of Third ...
Tail risk in the hedge fund industry
(2015-05-28)
The dissertation goal is to quantify the tail risk premium embedded into hedge funds' returns. Tail risk is the probability of extreme large losses. Although it is a rare event, asset pricing theory suggests that investors ...
Optimal close-to-home biases in asset allocation
(ELSEVIER SCIENCE INC, 2011)
This article studies optimal portfolio decisions with (long-term) liabilities for small open economy based investors, including the optimality of currency hedging (Walker (2008a). Chile is the home country of the representative ...
Applications of nonlinear stochastic discount factors in performance analysis and tail risk
(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 ...
Cross- Hedging emerging stock indexes in Latin America with commodities and financial futures contracts in time of crises
(Universidad EAFITMaestría en Ciencias en FinanzasEscuela de Economía y FinanzasMedellín, 2022)