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An SDF approach to hedge funds’ tail risk: evidence from Brazilian funds
(2016-03-21)
The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by Almeida and Garcia (2015) and Almeida, Ardison, Garcia, and Vicente ...
Measuring the performance of project risk management: a preliminary model
(2019)
: The function of project risk management (PRM) is to understand the uncertainty that surrounds a project and to identify the potential threats than can affect it as well as to know how to handle these risks in an appropriate ...
An SDF approach to hedge funds' tail risk: evidence from Brazilian funds
(Sociedade Brasileira de Econometria, 2017-05-25)
The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by \citet*{ag15} and \citet*{aagvg15}, which rely in solving dual ...
Estimação do Value at Risk via enfoque bayesiano
(Universidade Federal de São CarlosBRUFSCarPrograma de Pós-Graduação em Estatística - PPGEs, 2007-01-26)
The continuous development of new financial instruments brings more and more
investment options for market participants. These investment options also bring a bigger
necessity to evaluate the risk embedded in these new ...
Determinant Factors in Personal Decision-Making to Adopt COVID-19 Prevention Measures in Chile
(International Journal of Environmental Research and Public Health, 2022)
Risco do desvio da perda: uma alternativa à mensuração do risco
(Universidade Federal de Santa MariaBRAdministraçãoUFSMPrograma de Pós-Graduação em Administração, 2015-07-17)
We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected
loss of results that occur with certain probability penalized by the dispersion of results worse
than such expectation. The SDR ...
Climate change adaptation and the agricultural sector in South American countries: Risk, vulnerabilities and opportunities
(Sociedade Brasileira de Ciência do Solo, 2022)
Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures
(EMAp - Escola de Matemática Aplicada, 2016)
We consider risk-averse convex stochastic programs expressed in terms of extended polyhedral risk measures. We derive computable con dence intervals on the optimal value of such stochastic programs using the Robust Stochastic ...