Hedge Funds

An Analytic Perspective - Updated Edition

By:

Andrew W Lo

Format:

Paperback / softback

Series:

Advances in Financial Engineering

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Description

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.

Author Biography:

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).

Release date Australia

July 21st, 2010

Author

Andrew W Lo

Audiences

Professional & Vocational
Tertiary Education (US: College)

Edition

Revised edition

Illustrations

14 b&w illus. 34 line illus. 60 tables.

Pages

400

Series

Advances in Financial Engineering

Dimensions

152x229x25

ISBN-13

9780691145983

Product ID

4113332

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