Hedge Funds : : An Analytic Perspective - Updated Edition / / Andrew W. Lo.

• Superior document: Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013
• VerfasserIn: Lo, Andrew W.,
• Place / Publishing House: Princeton, NJ : : Princeton University Press, , [2010]; ©2010
• Year of Publication: 2010
• Edition: Updated
• Language: English
• Series: Advances in Financial Engineering ; 3
• Physical Description: 1 online resource (400 p.) :; 14 color illus. 34 line illus. 60 tables.
• Other title: 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
• Format: Mode of access: Internet via World Wide Web.
• ISBN: 9781400835812; 9783110442502
• DOI: 10.1515/9781400835812
• Access: restricted access
• Hierarchical level: Monograph
• Statement of Responsibility: Andrew W. Lo.

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.