Hedgefunds: an analytic perspective
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Princeton, NJ [u.a.]
Princeton Univ. Press
2008
|
| Series: | Advances in financial engineering
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | XXIV, 337 S. graph. Darst. |
| ISBN: | 9780691132945 |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV023404274 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | t | ||
| 008 | 080718s2008 d||| |||| 00||| eng d | ||
| 020 | |a 9780691132945 |9 978-0-691-13294-5 | ||
| 035 | |a (OCoLC)183879857 | ||
| 035 | |a (DE-599)BVBBV023404274 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-739 |a DE-2070s | ||
| 050 | 0 | |a HG4530 | |
| 082 | 0 | |a 332.64/524 |2 22 | |
| 084 | |a QK 530 |0 (DE-625)141660: |2 rvk | ||
| 100 | 1 | |a Lo, Andrew W. |d 1960- |e Verfasser |0 (DE-588)124791433 |4 aut | |
| 245 | 1 | 0 | |a Hedgefunds |b an analytic perspective |c Andrew W. Lo |
| 264 | 1 | |a Princeton, NJ [u.a.] |b Princeton Univ. Press |c 2008 | |
| 300 | |a XXIV, 337 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Advances in financial engineering | |
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Hedge funds | |
| 650 | 0 | 7 | |a Hedge Fund |0 (DE-588)4444016-9 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Hedge Fund |0 (DE-588)4444016-9 |D s |
| 689 | 0 | |5 DE-604 | |
| 856 | 4 | 2 | |m Digitalisierung UB Passau |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016586994&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016586994 | ||
Record in the Search Index
| _version_ | 1804137788588687360 |
|---|---|
| adam_text | Contents
List of Tables
xi
List of Figures
xvii
List of Color Plates
xxi
Acknowledgments
xxiii
1
Introduction l
1.1
Tail Risk
7
1.2
Nonlinear Risks
13
1.3
IUiquidity and Serial Correlation
25
1.4
Literature Review
30
2
Basic Properties of Hedge Fund Returns
34
2.1
CS/Tremont Indexes
37
2.2 Lipper TASS Data 40
2.3
Attrition Rates
43
3
Serial Correlation, Smoothed Returns,
and IUiquidity
64
3.1
An Econometric Model of Smoothed Returns
66
3.2
Implications for Performance Statistics
70
3.3
Estimation of Smoothing Profiles
75
3.4
Smoothing-Adjusted
Sharpe
Ratios
79
3.5
Empirical Analysis of Smoothing and IUiquidity
83
4
Optimal Liquidity
97
4.1
Liquidity Metrics
98
4.2
Liquidity-Optimized Portfolios
105
4.3
Empirical Examples
107
4.4
Summary and Extensions
117
5
Hedge Fund Beta Replication
121
5.1
Literature Review
123
5.2
Two Examples
124
5.3
Linear Regression Analysis
126
5.4
Linear Clones
138
5.5
Summary and Extensions
164
6
A New Measure of Active Investment
Management
168
6.1
Literature Review
170
6.2
The AP Decomposition
172
6.3
Some Analytical Examples
180
6.4
Implementing the AP Decomposition
187
6.5
An Empirical Application
191
6.6
Summary and Extensions
196
7
Hedge Funds and Systemic Risk
198
7.1
Measuring Illiquidity Risk
200
7.2
Hedge Fund Liquidations
203
7.3
Regime-Switching Models
211
7.4
The Current Outlook
215
8
An Integrated Hedge Fund Investment Process
217
8.1
Define Asset Classes by Strategy
221
8.2
Set Portfolio Target Expected Returns
222
8.3
Set Asset-Class Target Expected Returns and Risks
222
8.4
Estimate Asset-Class Covariance Matrix
223
8.5
Compute Minimum-Variance Asset Allocations
224
8.6
Determine Manager Allocations within Each Asset Class
225
8.7
Monitor Performance and Risk Budgets
227
8.8
The Final Specification
227
8.9
Risk Limits and Risk Capital
229
8.10
Summary and Extensions
235
9
Practical Considerations
237
9.1
Risk Management as a Source of Alpha
237
9.2
Risk Preferences
239
9.3
Hedge Funds and the Efficient Markets Hypothesis
242
9.4
Regulating Hedge Funds
250
10
What Happened to the Quants in August
2007? 255
10.1
Terminology
260
10.2
Anatomy of a Long/Short Equity Strategy
261
10.3
What Happened in August
2007 269
10.4
Comparing August
2007
with August
1998 273
10.5
Total Assets, Expected Returns, and Leverage
276
10.6
The Unwind Hypothesis
281
10.7
Illiquidity Exposure
284
10.8
A Network View of the Hedge Fund Industry
286
10.9
Did Quant Fail?
292
10.10
Qualifications and Extensions
298
10.11
The Current Outlook
300
Appendix
303
A.
1
Lipper
TASS
Category Definitions
303
A.2 CS/Tremont Category Definitions
305
A.3
Matlab Loeb
Function tloeb
308
A.4 GMM Estimators for the AP Decomposition
310
A.5 Constrained Optimization
312
A.6 A Contrarian Trading Strategy
313
A.7 Statistical Significance of Aggregate Autocorrelations
314
References
317
Index
331
|
| adam_txt |
Contents
List of Tables
xi
List of Figures
xvii
List of Color Plates
xxi
Acknowledgments
xxiii
1
Introduction l
1.1
Tail Risk
7
1.2
Nonlinear Risks
13
1.3
IUiquidity and Serial Correlation
25
1.4
Literature Review
30
2
Basic Properties of Hedge Fund Returns
34
2.1
CS/Tremont Indexes
37
2.2 Lipper TASS Data 40
2.3
Attrition Rates
43
3
Serial Correlation, Smoothed Returns,
and IUiquidity
64
3.1
An Econometric Model of Smoothed Returns
66
3.2
Implications for Performance Statistics
70
3.3
Estimation of Smoothing Profiles
75
3.4
Smoothing-Adjusted
Sharpe
Ratios
79
3.5
Empirical Analysis of Smoothing and IUiquidity
83
4
Optimal Liquidity
97
4.1
Liquidity Metrics
98
4.2
Liquidity-Optimized Portfolios
105
4.3
Empirical Examples
107
4.4
Summary and Extensions
117
5
Hedge Fund Beta Replication
121
5.1
Literature Review
123
5.2
Two Examples
124
5.3
Linear Regression Analysis
126
5.4
Linear Clones
138
5.5
Summary and Extensions
164
6
A New Measure of Active Investment
Management
168
6.1
Literature Review
170
6.2
The AP Decomposition
172
6.3
Some Analytical Examples
180
6.4
Implementing the AP Decomposition
187
6.5
An Empirical Application
191
6.6
Summary and Extensions
196
7
Hedge Funds and Systemic Risk
198
7.1
Measuring Illiquidity Risk
200
7.2
Hedge Fund Liquidations
203
7.3
Regime-Switching Models
211
7.4
The Current Outlook
215
8
An Integrated Hedge Fund Investment Process
217
8.1
Define Asset Classes by Strategy
221
8.2
Set Portfolio Target Expected Returns
222
8.3
Set Asset-Class Target Expected Returns and Risks
222
8.4
Estimate Asset-Class Covariance Matrix
223
8.5
Compute Minimum-Variance Asset Allocations
224
8.6
Determine Manager Allocations within Each Asset Class
225
8.7
Monitor Performance and Risk Budgets
227
8.8
The Final Specification
227
8.9
Risk Limits and Risk Capital
229
8.10
Summary and Extensions
235
9
Practical Considerations
237
9.1
Risk Management as a Source of Alpha
237
9.2
Risk Preferences
239
9.3
Hedge Funds and the Efficient Markets Hypothesis
242
9.4
Regulating Hedge Funds
250
10
What Happened to the Quants in August
2007? 255
10.1
Terminology
260
10.2
Anatomy of a Long/Short Equity Strategy
261
10.3
What Happened in August
2007 269
10.4
Comparing August
2007
with August
1998 273
10.5
Total Assets, Expected Returns, and Leverage
276
10.6
The Unwind Hypothesis
281
10.7
Illiquidity Exposure
284
10.8
A Network View of the Hedge Fund Industry
286
10.9
Did Quant Fail?
292
10.10
Qualifications and Extensions
298
10.11
The Current Outlook
300
Appendix
303
A.
1
Lipper
TASS
Category Definitions
303
A.2 CS/Tremont Category Definitions
305
A.3
Matlab Loeb
Function tloeb
308
A.4 GMM Estimators for the AP Decomposition
310
A.5 Constrained Optimization
312
A.6 A Contrarian Trading Strategy
313
A.7 Statistical Significance of Aggregate Autocorrelations
314
References
317
Index
331 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Lo, Andrew W. 1960- |
| author_GND | (DE-588)124791433 |
| author_facet | Lo, Andrew W. 1960- |
| author_role | aut |
| author_sort | Lo, Andrew W. 1960- |
| author_variant | a w l aw awl |
| building | Verbundindex |
| bvnumber | BV023404274 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4530 |
| callnumber-raw | HG4530 |
| callnumber-search | HG4530 |
| callnumber-sort | HG 44530 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 530 |
| ctrlnum | (OCoLC)183879857 (DE-599)BVBBV023404274 |
| dewey-full | 332.64/524 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/524 |
| dewey-search | 332.64/524 |
| dewey-sort | 3332.64 3524 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01390nam a2200373 c 4500</leader><controlfield tag="001">BV023404274</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">080718s2008 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780691132945</subfield><subfield code="9">978-0-691-13294-5</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)183879857</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV023404274</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-739</subfield><subfield code="a">DE-2070s</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG4530</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.64/524</subfield><subfield code="2">22</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 530</subfield><subfield code="0">(DE-625)141660:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Lo, Andrew W.</subfield><subfield code="d">1960-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)124791433</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Hedgefunds</subfield><subfield code="b">an analytic perspective</subfield><subfield code="c">Andrew W. Lo</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Princeton, NJ [u.a.]</subfield><subfield code="b">Princeton Univ. Press</subfield><subfield code="c">2008</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XXIV, 337 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Advances in financial engineering</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references and index</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Hedge funds</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Hedge Fund</subfield><subfield code="0">(DE-588)4444016-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Hedge Fund</subfield><subfield code="0">(DE-588)4444016-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Passau</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016586994&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016586994</subfield></datafield></record></collection> |
| id | DE-604.BV023404274 |
| illustrated | Illustrated |
| index_date | 2024-07-02T21:24:55Z |
| indexdate | 2024-07-09T21:17:52Z |
| institution | BVB |
| isbn | 9780691132945 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016586994 |
| oclc_num | 183879857 |
| open_access_boolean | |
| owner | DE-739 DE-2070s |
| owner_facet | DE-739 DE-2070s |
| physical | XXIV, 337 S. graph. Darst. |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | Princeton Univ. Press |
| record_format | marc |
| series2 | Advances in financial engineering |
| spelling | Lo, Andrew W. 1960- Verfasser (DE-588)124791433 aut Hedgefunds an analytic perspective Andrew W. Lo Princeton, NJ [u.a.] Princeton Univ. Press 2008 XXIV, 337 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Advances in financial engineering Includes bibliographical references and index Hedge funds Hedge Fund (DE-588)4444016-9 gnd rswk-swf Hedge Fund (DE-588)4444016-9 s DE-604 Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016586994&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Lo, Andrew W. 1960- Hedgefunds an analytic perspective Hedge funds Hedge Fund (DE-588)4444016-9 gnd |
| subject_GND | (DE-588)4444016-9 |
| title | Hedgefunds an analytic perspective |
| title_auth | Hedgefunds an analytic perspective |
| title_exact_search | Hedgefunds an analytic perspective |
| title_exact_search_txtP | Hedgefunds an analytic perspective |
| title_full | Hedgefunds an analytic perspective Andrew W. Lo |
| title_fullStr | Hedgefunds an analytic perspective Andrew W. Lo |
| title_full_unstemmed | Hedgefunds an analytic perspective Andrew W. Lo |
| title_short | Hedgefunds |
| title_sort | hedgefunds an analytic perspective |
| title_sub | an analytic perspective |
| topic | Hedge funds Hedge Fund (DE-588)4444016-9 gnd |
| topic_facet | Hedge funds Hedge Fund |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016586994&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT loandreww hedgefundsananalyticperspective |