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Book Cover
Book
Author Lo, Andrew W. (Andrew Wen-Chuan)

Title Hedge funds : an analytic perspective / Andrew W. Lo
Published Princeton, NJ : Princeton University Press, 2008

Copies

Location Call no. Vol. Availability
 MELB  332.64524 Loa/Hfa  AVAILABLE
Description xxiv, 337 pages, 8 unnumbered pages of plates : illustrations (some color)
Series Advances in financial engineering
Advances in financial engineering.
Contents 1. Introduction -- 2. Basic Properties of 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?
Summary "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, financial economist Andrew Lo 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"--BOOK JACKET
Bibliography Includes bibliographical references and index
Subject Hedge funds.
LC no. 2007061038
ISBN 9780691132945
0691132941
Other Titles Hedge funds