Hedge Funds An Analytic Perspective

ISBN-10: 0691145989
ISBN-13: 9780691145983
Edition: 2010 (Revised)
Authors: Andrew W. Lo
List price: $38.95
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Book details

List price: $38.95
Copyright year: 2010
Publisher: Princeton University Press
Publication date: 7/21/2010
Binding: Paperback
Pages: 400
Size: 6.25" wide x 9.00" long x 1.00" tall
Weight: 1.298
Language: English

Andrew W. Lo is the Charles E. And Susan T. Harris Group Professor, professor of finance, and director of the Laboratory for Financial Engineering at the Massachusetts Institute of Technology. He is a research associate of the National Bureau of Economic Research.

List of Tables
List of Figures
List of Color Plates
Acknowledgments
Introduction
Tail Risk
Nonlinear Risks
Illiquidity and Serial Correlation
Literature Review
Basic Properties of Hedge Fund Returns
CS/Tremont Indexes
Lipper TASS Data
Attrition Rates
Serial Correlation, Smoothed Returns, and Illiquidity
An Econometric Model of Smoothed Returns
Implications for Performance Statistics
Estimation of Smoothing Profiles
Smoothing-Adjusted Sharpe Ratios
Empirical Analysis of Smoothing and Illiquidity
Optimal Liquidity
Liquidity Metrics
Liquidity-Optimized Portfolios
Empirical Examples
Summary and Extensions
Hedge Fund Beta Replication
Literature Review
Two Examples
Linear Regression Analysis
Linear Clones
Summary and Extensions
A New Measure of Active Investment Management
Literature Review
The AP Decomposition
Some Analytical Examples
Implementing the AP Decomposition
An Empirical Application
Summary and Extensions
Hedge Funds and Systemic Risk
Measuring Illiquidity Risk
Hedge Fund Liquidations
Regime-Switching Models
The Current Outlook
An Integrated Hedge Fund Investment Process
Define Asset Classes by Strategy
Set Portfolio Target Expected Returns
Set Asset-Class Target Expected Returns and Risks
Estimate Asset-Class Covariance Matrix
Compute Minimum-Variance Asset Allocations
Determine Manager Allocations within Each Asset Class
Monitor Performance and Risk Budgets
The Final Specification
Risk Limits and Risk Capital
Summary and Extensions
Practical Considerations
Risk Management as a Source of Alpha
Risk Preferences
Hedge Funds and the Efficient Markets Hypothesis
Regulating Hedge Funds
What Happened to the Quants in August 2007?
Terminology
Anatomy of a Long/Short Equity Strategy
What Happened in August 2007?
Comparing August 2007 with August 1998
Total Assets, Expected Returns, and Leverage
The Unwind Hypothesis
Illiquidity Exposure
A Network View of the Hedge Fund Industry
Did Quant Fail?
Qualifications and Extensions
The Current Outlook
Jumping the Gates
Linear Risk Models
Beta Overlays
Hedging Long/Short Equity Managers
Dynamic Implementations of Beta Overlays
Conclusion
Appendix
Lipper TASS Category Definitions
CS/Tremont Category Definitions
Matlab Loeb Function tloeb
GMM Estimators for the AP Decomposition
Constrained Optimization
A Contrarian Trading Strategy
Statistical Significance of Aggregate Autocorrelations
Beta-Blocker and Beta-Repositioning Strategies
Tracking Error
References
Index

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