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1486686 Gregoriou, Greg N.; Hübner, Georges; Papageorgiou, Nicolas:
Hedge Funds
Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation
Preis:   € 73,90

Reihe: Wiley Finance Editions, Einband: Gb
Auflage: 1. Auflage
Verlag: John Wiley & Sons
Erscheinungsdatum: 2005
Seiten: 654 S.

ISBN-10: 0-471-73743-7   
ISBN-13: 978-0-471-73743-8


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Beschreibung
Praise for Hedge Funds
"Yet another excellent collection of research articles on risk management, performance measurement, portfolio allocation, and other quantitative issues related to hedge funds! This one is a must-read for anyone seriously fascinated by the world of hedge funds."
-Vikas Agarwal, Assistant Professor of Finance, J. Mack Robinson College of Business Georgia State University
"Our understanding of the properties of hedge funds as an asset class has improved enormously over the past few years, although many questions remain unanswered. This timely collection of important articles covers a broad range of topics including hedge fund investment, risk measurement, and performance appraisal. Academics and practitioners alike will find this a valuable source of cutting-edge thinking."
-Chris Brooks, Professor of Finance, Cass Business School, City University, London
"Despite the continuing vilification of hedge funds in the popular press, an increasing number of institutional and wealthy private investors are seeking to bifurcate their alpha and beta and diversify their exposure to equities and bonds. Investors are gaining traditional asset class exposure through low-cost, passive approaches and capturing a premium to that return through active investment management approaches in less-efficient markets like those within the domain of hedge funds. This book touches all aspects of this structural change in the investment management industry."
-Alexander M. Ineichen, CFA, CAIA, Managing Director, UBS Investment Research, and author of Absolute Returns
"The hedge fund industry is quickly evolving into a mature industry, no longer a cottage industry. Never before has such a comprehensive overview of the current hedge fund industry's critical issues been compiled. This compendium is a must-read for any serious institutional investor or asset manager."
-James Hedges, Founder, President, and Chief Investment Officer LJH Global Investments, LLC
"If you want to understand the sources of return and risk associated with hedge funds, then this is the book to own. A team of experts in the fields of statistics and finance dissect hedge funds from multiple points of view. This book is a must-read for anyone seeking to see how individual hedge funds and portfolios of hedge funds generate their returns."
-Richard E. Oberuc, Chairman, Foundation for Managed Derivatives Research
Inhalt
Preface.
Acknowledgments.
PART ONE: Portfolio Allocation in Hedge Funds.
Chapter 1: Integrating Hedge Funds into the Traditional Portfolio (Harry M. Kat).
Chapter 2: Hedge Funds from the Institutional Investor's Perspective (Noël Amenc, Felix Goltz, and Lionel Martellini).
Chapter 3: Funds of Hedge Funds versus Portfolios of Hedge Funds: A Comparative Analysis (Daniel Capocci and Valérie Nevolo).
Chapter 4: Analyzing Style Drift in Hedge Funds (Nolke Posthuma and Pieter Jelle Van der Sluis).
Chapter 5: Hedge Fund Allocation under Higher Moments and Illiquidity (Niclas Hagelin, Bengt Pramborg, and Fredrik Stenberg).
Chapter 6: Revisiting the Role of Hedge Funds in Diversified Portfolios (Jean Brunel).
Chapter 7: Hedge Fund Selection: A Synthetic Desirability Index (Jean-Pierre Langevin).
PART TWO: Hedge Fund Management.
Chapter 8: Hedge Fund Index Tracking (Carol Alexander and Anca Dimitriu).
Chapter 9: Designing a Long-Term Wealth Maximization Strategy for Hedge Fund Managers (Keith H. Black).
Chapter 10: Profiles of Hedge Fund Indexes against Conventional Asset Style Indexes (Barry Feldman).
Chapter 11: Applying Securitization Technology to Hedge Funds (Paul U. Ali).
Chapter 12: Maximum Drawdown Distributions with Volatility Persistence (Kathyrn Wilkens, Carlos J. Morales, and Luis Roman).
PART THREE: Risk and Performance Measurement.
Chapter 13: A Literature Review of Hedge Fund Performance Studies (Fabrice Rouah).
Chapter 14: Investing in Hedge Funds through Multimanager Vehicles (Meredith A. Jones).
Chapter 15: Performance in the Hedge Fund Industry: An Analysis of Short- and Long-term Persistence (Sébastien Gyger, P.-A. Bares, and R. Gibson).
Chapter 16: Further Evidence on Hedge Fund Performance: A Calendar-Time Approach (Maher Kooli).
Chapter 17: Investing in Hedge Funds: Risks, Returns, and Performance Measurement (Francis C. C. Koh, Winston T. H. Koh, David K. C. Lee, Kok Fai Phoon).
Chapter 18: Efficiency of Funds of Hedge Funds: A Data Envelopment Analysis Approach (Greg N. Gregoriou and Kevin McCarthy).
Chapter 19: The Performance of Hedge Funds in the Presence of Errors in Variables (Alain Coën, Aurélie Desfleurs, Georges Hübner, and François-Éric Racicot).
Chapter 20: Alternative RAPMs for Alternative Investments (Milind Sharma).
PART FOUR: Statistical Properties of Hedge Funds.
Chapter 21: Volatility Regimes and Hedge Fund Management (Mark Anson, Ho Ho, and Kurt W. Silberstein).
Chapter 22: Does Extreme Risk Affect the Fund of Hedge Funds Composition? (Laurent Favre).
Chapter 23: A Hedge Fund Investor's Guide to Understanding Managed Futures (Hilary F. Till and Joseph Eagleeye).
Chapter 24: Fat-Tail Risk in Portfolios of Hedge Funds and Traditional Investments (Jean-François Bacmann and Gregor Gawron).
Chapter 25: Skewing Your Diversification (Mark S. Shore).
Chapter 26: Investable Equity Long/Short Hedge Funds: Properties and Behavior (Edward Leung and Jacqueline Meziani).
Chapter 27: Hedge Funds and Portfolio Optimization: A Game of Its Own? (Zsolt Berenyi).
PART FIVE: Special Classes of Hedge Funds.
Chapter 28: Structured Products on Fund of Fund Underlyings (Jens Johansen).
Chapter 29: Hedge Funds and the Stale Pricing Issue (Mohamed Gaber, Greg N. Gregoriou, and William Kelting).
References.
Index.
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