Hedge Funds: An Analytic Perspective

Valutazione media 3,5
( su 26 valutazioni fornite da GoodReads )
 
9780691132945: Hedge Funds: An Analytic Perspective

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Recensione:

"Anyone who is considering investing in hedge funds, or is involved in regulating the financial-services industry, should give it a go." --The Economist

"The book is the authoritative distillation into an accessible form of a huge amount of academic research and practical experience. . . . Professor Lo gives a masterful illustration of the problems in gauging hedge fund performance with his famous fantasy fund Capital Decimation Partners." --Steven Bell, The Business Economist

"For scholars already familiar with the concepts of modern portfolio theory, the book is a good start in a quest to expand their knowledge of hedge funds strategies. . . . As one of the leading researchers in the field, Lo sets the standard by establishing key concepts for the industry with this book." --Marcel Möllenbeck, Financial Markets and Portfolio Management

Contenuti:

List of Tables xi
List of Figures xvii
List of Color Plates xxi
Acknowledgments xxiii

Chapter 1: Introduction 1
1.1 Tail Risk 7
1.2 Nonlinear Risks 13
1.3 Illiquidity and Serial Correlation 25
1.4 Literature Review 30

Chapter 2: Basic Properties of Hedge Fund Returns 34
2.1 CS/Tremont Indexes 37
2.2 Lipper TASS Data 40
2.3 Attrition Rates 43

Chapter 3: Serial Correlation, Smoothed Returns, and Illiquidity 64
3.1 An Econometric Model of Smoothed Returns 66
3.2 Implications for Performance Statistics 70
3.3 Estimation of Smoothing Profiles 75
3.4 Smoothing-Adjusted Sharpe Ratios 79
3.5 Empirical Analysis of Smoothing and Illiquidity 83

Chapter 4: Optimal Liquidity 97
4.1 Liquidity Metrics 98
4.2 Liquidity-Optimized Portfolios 105
4.3 Empirical Examples 107
4.4 Summary and Extensions 117

Chapter 5: Hedge Fund Beta Replication 121
5.1 Literature Review 123
5.2 Two Examples 124
5.3 Linear Regression Analysis 126
5.4 Linear Clones 138
5.5 Summary and Extensions 164

Chapter 6: A New Measure of Active Investment Management 168
6.1 Literature Review 170
6.2 The AP Decomposition 172
6.3 Some Analytical Examples 180
6.4 Implementing the AP Decomposition 187
6.5 An Empirical Application 191
6.6 Summary and Extensions 196

Chapter 7: Hedge Funds and Systemic Risk 198
7.1 Measuring Illiquidity Risk 200
7.2 Hedge Fund Liquidations 203
7.3 Regime-Switching Models 211
7.4 The Current Outlook 215

Chapter 8: An Integrated Hedge Fund Investment Process 217
8.1 Define Asset Classes by Strategy 221
8.2 Set Portfolio Target Expected Returns 222
8.3 Set Asset-Class Target Expected Returns and Risks 222
8.4 Estimate Asset-Class Covariance Matrix 223
8.5 Compute Minimum-Variance Asset Allocations 224
8.6 Determine Manager Allocations within Each Asset Class 225
8.7 Monitor Performance and Risk Budgets 227
8.8 The Final Specification 227
8.9 Risk Limits and Risk Capital 229
8.10 Summary and Extensions 235

Chapter 9: Practical Considerations 237
9.1 Risk Management as a Source of Alpha 237
9.2 Risk Preferences 239
9.3 Hedge Funds and the Efficient Markets Hypothesis 242
9.4 Regulating Hedge Funds 250

Chapter 10: What Happened to the Quants in August 2007? 255
10.1 Terminology 260
10.2 Anatomy of a Long/Short Equity Strategy 261
10.3 What Happened in August 2007 269
10.4 Comparing August 2007 with August 1998 273
10.5 Total Assets, Expected Returns, and Leverage 276
10.6 The Unwind Hypothesis 281
10.7 Illiquidity Exposure 284
10.8 A Network View of the Hedge Fund Industry 286
10.9 Did Quant Fail? 292
10.10 Qualifications and Extensions 298
10.11 The Current Outlook 300

Appendix 303
A.1 Lipper TASS Category Definitions 303
A.2 CS/Tremont Category Definitions 305
A.3 Matlab Loeb Function tloeb 308
A.4 GMM Estimators for the AP Decomposition 310
A.5 Constrained Optimization 312
A.6 A Contrarian Trading Strategy 313
A.7 Statistical Significance of Aggregate Autocorrelations 314

References 317
Index 331

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

I migliori risultati di ricerca su AbeBooks

1.

Andrew W. Lo
Editore: Princeton University Press (2008)
ISBN 10: 0691132941 ISBN 13: 9780691132945
Nuovi Rilegato Quantità: > 20
Da
Sequitur Books
(Boonsboro, MD, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Princeton University Press, 2008. Hardcover. Condizione libro: New. Brand new. Hardcover and dust jacket. Fine binding and cover. Clean, unmarked pages. Ships daily.The hedge-fund industry has grown dramatically over the years. Originally intended for the wealthy, these private investments have attracted a much broader following that includes pension funds and retail investors. This work addresses the pressing need for a systematic framework for managing hedge-fund investments. Codice libro della libreria 1204100074

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 9,56
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 3,68
In U.S.A.
Destinazione, tempi e costi

2.

Lo, Andrew W.
Editore: Princeton University Press (2008)
ISBN 10: 0691132941 ISBN 13: 9780691132945
Nuovi Rilegato Quantità: 1
Da
Irish Booksellers
(Rumford, ME, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Princeton University Press, 2008. Hardcover. Condizione libro: New. book. Codice libro della libreria 0691132941

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 19,34
Convertire valuta

Aggiungere al carrello

Spese di spedizione: GRATIS
In U.S.A.
Destinazione, tempi e costi

3.

Andrew W. Lo
Editore: Princeton University Press (2008)
ISBN 10: 0691132941 ISBN 13: 9780691132945
Nuovi Rilegato Quantità: 1
Da
Ergodebooks
(RICHMOND, TX, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Princeton University Press, 2008. Hardcover. Condizione libro: New. Codice libro della libreria DADAX0691132941

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 18,10
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 3,67
In U.S.A.
Destinazione, tempi e costi

4.

Lo, Andrew W.
Editore: Princeton University Press (2008)
ISBN 10: 0691132941 ISBN 13: 9780691132945
Nuovi Rilegato Quantità: 2
Da
Murray Media
(North Miami Beach, FL, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Princeton University Press, 2008. Hardcover. Condizione libro: New. Codice libro della libreria P110691132941

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 44,45
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 2,75
In U.S.A.
Destinazione, tempi e costi

5.

Lo, Andrew W.
Editore: Princeton University Press
ISBN 10: 0691132941 ISBN 13: 9780691132945
Nuovi Rilegato Quantità: 1
Da
Cloud 9 Books
(West Palm Beach, FL, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Princeton University Press. Hardcover. Condizione libro: New. 0691132941 New Condition. Codice libro della libreria NEW6.0354151

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 47,36
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 4,59
In U.S.A.
Destinazione, tempi e costi

6.

Lo, Andrew
Editore: Princeton Univ Pr (2008)
ISBN 10: 0691132941 ISBN 13: 9780691132945
Nuovi Rilegato Quantità: 1
Da
Revaluation Books
(Exeter, Regno Unito)
Valutazione libreria
[?]

Descrizione libro Princeton Univ Pr, 2008. Hardcover. Condizione libro: Brand New. illustrated edition. 364 pages. 9.25x6.25x1.25 inches. In Stock. Codice libro della libreria zk0691132941

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 101,33
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 7,08
Da: Regno Unito a: U.S.A.
Destinazione, tempi e costi