This paper examines tail risk in the Brazilian hedge fund industry. We rely on a unique data set of daily returns for every hedge fund in Brazil, dead or alive. By employing the universe of hedge funds, we ensure the absence of selection, survivorship, and instant history biases. We estimate...

This paper analyzes optimal investment decisions, in the presence of non-redundant hedge funds, for investors with constant relative risk aversion. Factor regression models with optionlike risk factors and no-arbitrage principles are used to identify and estimate the market price of hedge fund...