Hedge Funds: An Analytic Perspective (Advances in Financial Engineering)

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9780691132945: Hedge Funds: An Analytic Perspective (Advances in Financial Engineering)
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Book by Lo Andrew W

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Críticas:

"Anyone who is considering investing in hedge funds, or is involved in regulating the financial-services industry, should give it a go."--The Economist

"The book is the authoritative distillation into an accessible form of a huge amount of academic research and practical experience. . . . Professor Lo gives a masterful illustration of the problems in gauging hedge fund performance with his famous fantasy fund Capital Decimation Partners."--Steven Bell, The Business Economist

"For scholars already familiar with the concepts of modern portfolio theory, the book is a good start in a quest to expand their knowledge of hedge funds strategies. . . . As one of the leading researchers in the field, Lo sets the standard by establishing key concepts for the industry with this book."--Marcel Möllenbeck, Financial Markets and Portfolio Management

Reseña del editor:


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.


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Lo, Andrew W.
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