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Hedgefunds : an analytic perspective / Andrew W. Lo.

By: Material type: TextTextSeries: Advances in financial engineeringPublisher: Princeton : Princeton University Press, [2008]Copyright date: ©2008Description: xxiv, 337 pages : illustrations (some colour) ; 24 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 0691132941
  • 9780691132945
Other title:
  • Hedge funds
  • Analytic perspective
Subject(s): DDC classification:
  • 332.64524 22
LOC classification:
  • HG4530 .L59 2008
Online resources:
Contents:
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.
Summary: "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.
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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.

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