Hedgefunds : an analytic perspective /
Lo, Andrew W.
Hedgefunds : an analytic perspective / Hedge funds Analytic perspective Andrew W. Lo. - xxiv, 337 pages : illustrations (some colour) ; 24 cm. - Advances in financial engineering . - Advances in financial engineering. .
Includes bibliographical references (pages 317-330) and index.
Introduction -- Basic properties of Hedge fund returns -- Serial correlation, smoothed returns, and illiquidity -- Optimal liquidity -- Hedge fund Beta replication -- A new measure of active investment management -- Hedge funds and systemic risk -- An integrated Hedge fund investment process -- Practical considerations -- What happened to the quants in August 2007.
"The hedge-fund industry has grown dramatically over the last two decades, with more than eight thousand funds now controlling close to two trillion dollars. Originally intended for the wealthy, these private investments have now attracted a much broader following that includes pension funds and retail investors. Because hedge funds are largely unregulated and shrouded in secrecy, they have developed a mystique and allure that can beguile even the most experienced investor. In Hedge Funds, Andrew Lo--one of the world's most respected financial economists--addresses the pressing need for a systematic framework for managing hedge-fund investments. Arguing that hedge funds have very different risk and return characteristics than traditional investments, Lo constructs new tools for analyzing their dynamics, including measures of illiquidity exposure and performance smoothing, linear and nonlinear risk models that capture alternative betas, econometric models of hedge-fund failure rates, and integrated investment processes for alternative investments. He concludes with a case study of quantitative equity strategies in August 2007, and presents a sobering outlook regarding the systemic risks posed by this industry."--Publisher description.
0691132941 9780691132945
2007061038
Hedge funds
HG4530 / .L59 2008
332.64524
Hedgefunds : an analytic perspective / Hedge funds Analytic perspective Andrew W. Lo. - xxiv, 337 pages : illustrations (some colour) ; 24 cm. - Advances in financial engineering . - Advances in financial engineering. .
Includes bibliographical references (pages 317-330) and index.
Introduction -- Basic properties of Hedge fund returns -- Serial correlation, smoothed returns, and illiquidity -- Optimal liquidity -- Hedge fund Beta replication -- A new measure of active investment management -- Hedge funds and systemic risk -- An integrated Hedge fund investment process -- Practical considerations -- What happened to the quants in August 2007.
"The hedge-fund industry has grown dramatically over the last two decades, with more than eight thousand funds now controlling close to two trillion dollars. Originally intended for the wealthy, these private investments have now attracted a much broader following that includes pension funds and retail investors. Because hedge funds are largely unregulated and shrouded in secrecy, they have developed a mystique and allure that can beguile even the most experienced investor. In Hedge Funds, Andrew Lo--one of the world's most respected financial economists--addresses the pressing need for a systematic framework for managing hedge-fund investments. Arguing that hedge funds have very different risk and return characteristics than traditional investments, Lo constructs new tools for analyzing their dynamics, including measures of illiquidity exposure and performance smoothing, linear and nonlinear risk models that capture alternative betas, econometric models of hedge-fund failure rates, and integrated investment processes for alternative investments. He concludes with a case study of quantitative equity strategies in August 2007, and presents a sobering outlook regarding the systemic risks posed by this industry."--Publisher description.
0691132941 9780691132945
2007061038
Hedge funds
HG4530 / .L59 2008
332.64524