In this article we develop a parsimonious consumption-based model of the term structure of interest rates and test its implications for US monthly data from 1970:4 to 2013:1. Our main objective is to shed a new light on the term structure of subjective time preference rates. The empirical...

This paper studies the joint impact of smoothing and fat tails on the risk-return properties of hedge fund strategies. First, we adjust risk and performance measures for illiquidity and the non-Gaussian distribution of hedge funds returns. We use two risk metrics: the Modified Value-at-Risk and...