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 ...

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 ...

Hedge fund replication has generated significant academic interest and received increased attention from a broad base of investors. This is mainly driven by its competitive after-fee returns along with its superior liquidity, ...

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 ...

Esse estudo foi motivado pela falta de bons fundos de investimento multimercado abertos para captação no Brasil e tem como objetivo analisar a viabilidade de utilizar a análise de estilo baseada em retorno para clonar ...