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...Read more
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.
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.
- ISBN10 6612639520
- ISBN13 9786612639524
- Publish Date 5 July 2010 (first published 18 May 2008)
- Publish Status Active
- Out of Print 24 August 2011
- Publish Country US
- Imprint Princeton University Press
- Edition Revised ed.
- Format eBook
- Pages 376
- Language English
