Hedge funds : an analytic perspective / Andrew W. Lo.

Format:

Book

Author/Creator:

Lo, Andrew W. (Andrew Wen-Chuan)

Series:

Advances in financial engineering.

Advances in financial engineering

Language:

English

Subjects (All):

Mutual funds.

Physical Description:

1 online resource (388 p.)

Edition:

Rev. and expanded ed.

Place of Publication:

Princeton, N.J. : Princeton University Press, 2010.

Language Note:

English

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. In a new chapter, he looks at how the strategies for and regulation of hedge funds have changed in the aftermath of the financial crisis.

Contents:

Frontmatter

Contents

Tables

Figures

Color Plates

Acknowledgments

1 Introduction

2 BasicPropertiesof Hedge Fund Returns

3. Serial Correlation, Smoothed Returns, and Illiquidity

4 Optimal Liquidity

5 Hedge Fund Beta Replication

6 A New Measure of Active Investment Management

7 Hedge Funds and Systemic Risk

8 An Integrated Hedge Fund Investment Process

9 Practical Considerations

10 What Happened to the Quants in August 2007?

11 Jumping the Gates

Appendix

References

Index

Notes:

Description based upon print version of record.

Includes bibliographical references (p. [341]-354) and index.

ISBN:

9786612639524

9781282639522

1282639528

9781400835812

140083581X

OCLC:

659768710