Predicting Hedge Fund failure : the role of risk across time
This study focuses on the relation between the risk profile of a hedge fund and its probability to fail. We propose to model the failure event using survival analysis through a Cox Hazards Model while incorporating piecewise effects in the risk covariate. Empirical results suggest that there has bee...
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| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2015
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| Texto completo: | http://hdl.handle.net/10400.14/18749 |
| País: | Portugal |
| Oai: | oai:repositorio.ucp.pt:10400.14/18749 |