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Hedge Funds: An Analytic Perspective - Updated Edition

Paperback / softback

Main Details

Title Hedge Funds: An Analytic Perspective - Updated Edition
Authors and Contributors      By (author) Andrew W. Lo
SeriesAdvances in Financial Engineering
Physical Properties
Format:Paperback / softback
Pages:400
Dimensions(mm): Height 235,Width 152
Category/GenreEconomic systems and structures
Investment and securities
ISBN/Barcode 9780691145983
ClassificationsDewey:332.64524
Audience
Tertiary Education (US: College)
Professional & Vocational
Edition Revised edition
Illustrations 14 color illus. 34 line illus. 60 tables.

Publishing Details

Publisher Princeton University Press
Imprint Princeton University Press
Publication Date 21 July 2010
Publication Country United States

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).

Reviews

"Andrew Lo is a major figure in finance so his new book on the fast-moving world of hedge funds ought to be in the 'must read' category... 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 "Anyone who is considering investing in hedge funds, or is involved in regulating the financial-services industry, should give it a go."--The Economist "Finally a serious book on hedge funds based on real data, written by a leading financial economist."--Tyler Cowen, Marginal Revolution "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 M?llenbeck, Financial Markets and Portfolio Management