Hedge Funds: An Analytic Perspective - Couverture rigide

Lo, Andrew W.

Couverture rigide

ISBN 10 : 0691132941 ISBN 13 : 9780691132945

Editeur : Princeton University Press, 2008

Synopsis

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.

A propos du livre

À propos de l'auteur

Andrew W. Lo is the Harris & Harris Group Professor at the MIT Sloan School of Management, and director of the MIT Laboratory for Financial Engineering. He is the coauthor of "A Non-Random Walk Down Wall Street" and "The Econometrics of Financial Markets" (both Princeton).

Détails de l'édition

• Éditeur: Princeton University Press
• Date d'édition: 2008
• Langue: anglais
• ISBN 10: 0691132941
• ISBN 13: 9780691132945
• Reliure: Relié
• Nombre de pages: 376
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible