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