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Nonparametric Assessment of Hedge Fund Performance

Almeida, Caio - 2019

We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identifiable stochastic discount factors (SDFs). The SDF-based measures incorporate no-arbitrage pricing restrictions and naturally embed information about higher-order mixed moments...

Persistent link: https://www.econbiz.de/10012905264

Economic implications of nonlinear pricing kernels

Almeida, Caio; Garcia, René - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3361-3380

Persistent link: https://www.econbiz.de/10011760496

Nonparametric assessment of hedge fund performance

Almeida, Caio; Ardison, Kym; Garcia, René - 2019

Persistent link: https://www.econbiz.de/10012181908

Credit spread arbitrage in emerging Eurobond markets

Almeida, Caio (contributor) - In: The journal of fixed income 10 (2000) 3, pp. 100-110

Persistent link: https://www.econbiz.de/10001549805

Immunization of fixed-income portfolios using an exponential parametric model

Lund, Bruno; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 34 (2014) 2, pp. 155-201

Persistent link: https://www.econbiz.de/10011538795

Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters

Faria, Adriano; Ornelas, Rafael; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 1, pp. 43-62

Persistent link: https://www.econbiz.de/10011538973

Idiosyncratic moments and the cross-section of stock returns in Brazil

Ricca, Bernardo; Almeida, Caio; Tessari, Cristina - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 2, pp. 255-286

Persistent link: https://www.econbiz.de/10011644511

Measuring long run risks for Brazil

Brandão, Diego; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 39 (2019) 1, pp. 145-183

Persistent link: https://www.econbiz.de/10012210621

An SDF approach to hedge funds' tail risk : evidence from Brazilian funds

Leal, Laura Simonsen; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 37 (2017) 1, pp. 61-88

Persistent link: https://www.econbiz.de/10011860505

Are higher-order factors useful in pricing the cross-section of hedge fund returns?

Fang, Elaine; Almeida, Caio - In: Revista Brasileira de Finanças : RBFin 17 (2019) 2, pp. 1-37

Persistent link: https://www.econbiz.de/10012221211