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Hedge Funds

English

By (author): 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. See more
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A01=Andrew W. LoAge Group_UncategorizedAlternative investmentArbitrageArbitrage pricing theoryAssetAssets under managementAuthor_Andrew W. LoAutocorrelationautomatic-updateCategory1=Non-FictionCategory=KCSCategory=KFFMChurn rateConvertible arbitrageCOP=United StatesCredit spread (options)Dedicated Short BiasDelivery_Delivery within 10-20 working daysEarnings managementEconomic bubbleeq_business-finance-laweq_isMigrated=2eq_non-fictionEvent Driven StrategyExpected utility hypothesisFair coinFixed income arbitrageForward contractGlobal tactical asset allocationGrowth FundHedge (finance)Hedge fundHigh-yield debtHot moneyHurdle RateIndexationInferior goodInformation asymmetryInstitutional investorInvestmentInvestorLanguage_EnglishLeverage (finance)LipperLiquidity premiumLiquidity riskLong-Term Capital ManagementMark-to-market accountingMarket capitalizationMarket liquidityModern portfolio theoryNet ExposureNet ShortOptions arbitragePA=AvailablePortfolio insurancePortfolio optimizationPortfolio WeightPrice ChangePrice_€50 to €100PS=ActivePut optionRandom walk hypothesisRisk arbitrageRisk managementRisk of ruinRisk premiumS&P 500 IndexSharpe ratioSize premiumsoftlaunchSortino ratioSpeculationStatistical arbitrageStochastic volatilityStock PickSurvivorship biasSystemic riskTheoretical ValueThinly TradedTracking errorTrading strategyTreasury IndexTreynor ratioValue premiumVolatility swap
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Product Details
  • Weight: 567g
  • Dimensions: 156 x 235mm
  • Publication Date: 21 Jul 2010
  • Publisher: Princeton University Press
  • Publication City/Country: US
  • Language: English
  • ISBN13: 9780691145983

About Andrew W. Lo

Andrew W. Lo is the Harris & Harris Group Professor at the MIT Sloan School of Management, and director of the MIT Laboratory for Financial Engineering. He is the coauthor of "A Non-Random Walk Down Wall Street" and "The Econometrics of Financial Markets" (both Princeton).

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