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Funds of hedge funds : performance, assessment, diversification, and statistical properties / edited by Greg N. Gregoriou.

Contributor(s): Material type: TextTextSeries: Quantitative finance seriesPublisher: Amsterdam ; Boston : Butterworth/Heinemann/Elsevier, [2006]Copyright date: ©2006Description: xxix, 466 pages : illustrations ; 24 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 0750679840
  • 9780750679848
Subject(s): DDC classification:
  • 332.645 22
LOC classification:
  • HG4530 .F836 2006
Contents:
Pt. 1. Performance -- 1. Rank alpha funds of hedge funds / Carol Alexander and Anca Dimitriu -- 2. Funds of hedge funds : bias and persistence in returns / Daniel Capocci and Georges Hubner -- 3. Replication and evaluation of funds of hedge funds returns / Harry M. Kat and Helder P. Palaro -- 4. Performance, size, and new opportunities in the funds of hedge funds industry / Jean-Francois Bacmann, Pierre Jeanneret and Stefan Scholz -- 5. Optimal fund of funds asset allocation : hedge funds, CTAs, and REITs / Alain Elkaim and Nicolas Papageorgiou -- 6. The changing performance and risks of funds of funds in the modern period / Keith H. Black -- 7. Hedge fund indices : are they cost-effective alternatives to funds of funds? / Kathryn Wilkens -- 8. Simple hedge fund strategies as an alternative to funds of funds : evidence from large-cap funds / Greg N. Gregoriou, Georges Hubner, Nicolas Papageorgiou and Fabrice Rouah -- Pt. 2. Diversification, selection, allocation, and hedge fund indices -- 9. Funds of funds of hedge funds : welcome to diworsification / Francois-Serge Lhabitant and Nicolas Laporte -- 10. Style analysis of funds of hedge funds : measurement of asset allocation and style drift / Oliver A. Schwindler and Andreas Oehler -- 11. Gains from adding funds of hedge funds to portfolios of traditional assets : an international perspective / Niclas Hagelin, Bengt Pramborg and Fredrik Stenberg -- 12. Tactical asset allocation for hedge fund indices at one- to six-month horizons / Laurent Favre -- 13. Single-strategy funds of hedge funds : how many funds? / Ryan J. Davies, Harry M. Kat and Sa Lu -- Pt. 3. Construction and statistical properties of funds of hedge funds -- 14. Distributional characteristics of funds of hedge funds returns / Elaine Hutson, Margaret Lynch and Max Stevenson -- 15. Funds of funds and the diversification effect / Maher Kooli -- 16. Higher-moment performance characteristics of funds of funds / Zsolt Berenyi -- 17. The market risk of funds of hedge funds : a conditional approach / Florent Pochon and Jerome Teiletche -- 18. Revisiting the Fama and French model : an application to funds of funds using nonlinear methods / Eric Dube, Clement Gignac and Francois-Eric Racicot -- 19. Investor's choice : an investor-driven, forward-looking optimization approach to fund of hedge funds construction / Clemens H. Glaffig -- Pt. 4. Monitoring risk, overview of funds of funds, due diligence, and special classes of funds of funds -- 20. Moments analysis in risk and performance monitoring of funds of hedge funds / David K. C. Lee, Kok Fai Phoon and Choon Yuan Wong -- 21. An overview of funds of hedge funds / Jean Brunel -- 22. Institutional investment due diligence on funds of hedge funds / John E. Dunn III -- 23. Synthetic collateralized debt obligations (CDO) squares and the continuing evolution of funds of funds / Paul U. Ali -- 24. Natural resources funds of funds : active management, risk management, and due diligence / Rian Akey, Hilary Till and Aleks Kins -- 25. Identifying and monitoring risk in a fund of hedge funds portfolio / Meredith A. Jones -- 26. The wizardry of analytics for funds of funds / Mary Fjelstad and Leola Ross -- 27. Quantitative hedge fund selection for funds of funds / Stephan Joehri and Markus Leippold.
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Holdings
Item type Current library Call number Copy number Status Date due Barcode
Book City Campus City Campus Main Collection 332.645 FUN (Browse shelf(Opens below)) 1 Available A399237B

Includes bibliographical references and index.

Pt. 1. Performance -- 1. Rank alpha funds of hedge funds / Carol Alexander and Anca Dimitriu -- 2. Funds of hedge funds : bias and persistence in returns / Daniel Capocci and Georges Hubner -- 3. Replication and evaluation of funds of hedge funds returns / Harry M. Kat and Helder P. Palaro -- 4. Performance, size, and new opportunities in the funds of hedge funds industry / Jean-Francois Bacmann, Pierre Jeanneret and Stefan Scholz -- 5. Optimal fund of funds asset allocation : hedge funds, CTAs, and REITs / Alain Elkaim and Nicolas Papageorgiou -- 6. The changing performance and risks of funds of funds in the modern period / Keith H. Black -- 7. Hedge fund indices : are they cost-effective alternatives to funds of funds? / Kathryn Wilkens -- 8. Simple hedge fund strategies as an alternative to funds of funds : evidence from large-cap funds / Greg N. Gregoriou, Georges Hubner, Nicolas Papageorgiou and Fabrice Rouah -- Pt. 2. Diversification, selection, allocation, and hedge fund indices -- 9. Funds of funds of hedge funds : welcome to diworsification / Francois-Serge Lhabitant and Nicolas Laporte -- 10. Style analysis of funds of hedge funds : measurement of asset allocation and style drift / Oliver A. Schwindler and Andreas Oehler -- 11. Gains from adding funds of hedge funds to portfolios of traditional assets : an international perspective / Niclas Hagelin, Bengt Pramborg and Fredrik Stenberg -- 12. Tactical asset allocation for hedge fund indices at one- to six-month horizons / Laurent Favre -- 13. Single-strategy funds of hedge funds : how many funds? / Ryan J. Davies, Harry M. Kat and Sa Lu -- Pt. 3. Construction and statistical properties of funds of hedge funds -- 14. Distributional characteristics of funds of hedge funds returns / Elaine Hutson, Margaret Lynch and Max Stevenson -- 15. Funds of funds and the diversification effect / Maher Kooli -- 16. Higher-moment performance characteristics of funds of funds / Zsolt Berenyi -- 17. The market risk of funds of hedge funds : a conditional approach / Florent Pochon and Jerome Teiletche -- 18. Revisiting the Fama and French model : an application to funds of funds using nonlinear methods / Eric Dube, Clement Gignac and Francois-Eric Racicot -- 19. Investor's choice : an investor-driven, forward-looking optimization approach to fund of hedge funds construction / Clemens H. Glaffig -- Pt. 4. Monitoring risk, overview of funds of funds, due diligence, and special classes of funds of funds -- 20. Moments analysis in risk and performance monitoring of funds of hedge funds / David K. C. Lee, Kok Fai Phoon and Choon Yuan Wong -- 21. An overview of funds of hedge funds / Jean Brunel -- 22. Institutional investment due diligence on funds of hedge funds / John E. Dunn III -- 23. Synthetic collateralized debt obligations (CDO) squares and the continuing evolution of funds of funds / Paul U. Ali -- 24. Natural resources funds of funds : active management, risk management, and due diligence / Rian Akey, Hilary Till and Aleks Kins -- 25. Identifying and monitoring risk in a fund of hedge funds portfolio / Meredith A. Jones -- 26. The wizardry of analytics for funds of funds / Mary Fjelstad and Leola Ross -- 27. Quantitative hedge fund selection for funds of funds / Stephan Joehri and Markus Leippold.

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