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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 ...
Precautionary saving in mean-variance models and different sources of risk
(2021)
We study the effects of first- and second-order risk increases on precautionary saving in a mean-variance model. In doing so, we reduce the gap between the theory of saving, which mainly stems from the expected utility ...
Análise de risco de cauda em carteiras de ativos nacionais usando a teoria do valor extremo
(2019-07-31)
O objetivo do trabalho é demonstrar a superioridade da Teoria do Valor Extremo (TVE) como modelo de risco em carteiras de ativos nacionais, como forma de capturar adequadamente eventos de grande turbulência e volatilidade ...
How do risk attitudes affect pro-social behavior? Theory and experiment
(2017)
We explore how risk preferences affect pro-social behavior in risky environments. We analyze a modified dictator game in which the dictator could, by reducing her own sure payoff, increase the odds that an unknown recipient ...
An examination of the discount rate
(FONDO CULTURA ECONOMICA, 2005)
The choice of an appropriate discount rate is of major importance in cost-benefit analysis both, at the private and at the social levels. The theories that rationalize. the NPV criterion also identify the appropriate rate. ...
Expectations and confidence under uncertainty
(M E Sharpe IncArmonkEUA, 1999)