Hedge Funds : Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation

by ; ; ; ;
Format: Hardcover
Pub. Date: 2005-08-26
Publisher(s): Wiley
List Price: $90.00

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Summary

Whether already experienced with hedge funds or just thinking about investing in them, readers need a firm understanding of this unique investment vehicle in order to achieve maximum success. Hedge Funds unites over thirty of the top practitioners and academics in the hedge fund industry to provide readers with the latest findings in this field. Their analysis deals with a variety of topics, from new methods of performance evaluation to portfolio allocation and risk/return matters. Although some of the information is technical in nature, an understanding and applicability of the results as well as theoretical developments are stressed. Filled with in-depth insight and expert advice, Hedge Funds helps readers make the most of this flexible investment vehicle.

Author Biography

GREG N. GREGORIOU is Associate Professor of Finance and coordinator of faculty research in the School of Business and Economics at the State University of New York, Plattsburgh. He received his BA in economics from Concordia University and his MBA and PhD in finance from the University of Quebec in Montreal. He is an associate with the Peritus Group in Montreal and the hedge fund editor and an editorial board member for Derivatives Use, Trading and Regulation (London). Gregoriou has published over forty articles on hedge funds and CTAs, and is coauthor and coeditor of four books.

GEORGES HÜBNER is the Deloitte Professor of Financial Management at HEC, Business School of the University of Liège. He is also Associate Professor of Finance at the University of Maastricht and Affiliate Professor of Finance at EDHEC Business School. He is an accomplished author of two books on financial management, as well as several peer-reviewed research articles about hedge funds and derivatives. Hübner holds a PhD in management from INSEAD.

NICOLAS PAPAGEORGIOU completed his PhD at the ISMA Centre, The University of Reading, UK, in 2002 and has since held the position of Assistant Professor in the Department of Finance at HEC Montreal. His doctoral research focused on the modeling of corporate credit risk, and the empirical evaluation of models for pricing corporate liabilities and credit derivatives. Papageorgiou is also interested in alternative fund management, specifically hedge funds and CTAs, and has written several papers and book chapters on performance measurements of these funds.

FABRICE ROUAH is an Institut de Finance Mathématique de Montréal (IFM2) Scholar, and a PhD candidate in finance at McGill University. He is a former faculty lecturer and consulting statistician and he specializes in the statistical and stochastic modeling of hedge funds, managed futures, and CTAs.

Table of Contents

 
Preface.
Acknowledgments.
About the Editors.
About the Contributors.
PART ONE:  PORTFOLIO ALLOCATION IN HEDGE FUNDS.        
1.Integrating Hedge Funds into the Traditional Portfolio (Harry M. Kat).
2. Hedge Funds From The Institutional Investor’s Perspective (Lionel Martellini, Noël Amenc and Felix Goltz).
3. Funds of Hedge Funds versus Portfolios of Hedge Funds:  A Comparative Analysis (Dan Capocci and Valérie Nevolo).
4. Analyzing Style Drift in Hedge Funds (P.J. Van der Sluisand Nolke Posthuma).
5. Hedge Fund Allocation under Higher Moments and Illiquidity (Niclas Hagelin, Bengt Pramborg and Fredrik Stenberg).
6. Revisiting the Role of Hedge Funds in Diversified Portfolios (Jean Brunel).
7. Hedge Fund Selection: A Synthetic “Desirability” Index (Jeaqn-Pierre Langevin).
8. Common Factor Strategies for Hedge Funds (Carol Alexander and Anca Dimitriu).
9. Hedge Fund Fee Structure (Keith Black).
10. Profiles of Hedge Fund Indexes Against Conventional Asset Style Indexes
(Barry Feldman).
11. Applying Securitization Technology to Hedge Funds (Paul U. Ali).     
12. Drawdown Distributions Under Non-Constant Volatility (Kathyrn Wilkens Carlos J.Morales, and Luis Roman).
PART THREE: RISK AND PERFORMANCE MEASUREMENT.
13. Literature Review (Fabrice Rouah).
14. Investing in Hedge Funds Through Multi-Manager Vehicle (Meredit Jones).
15. Performance in the Hedge Funds Industry: An Analysis of Short and Long-Term Persistence (P.-A. Barès, R. Gibson and S. Gyger).
16. Analysis of Risk-Adjusted Performance of Global Assets including Hedge Funds (Maher Kooli).
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).
18. Efficiency of Funds of Hedge Funds Using Context Dependent Data Envelopment Analysis (Greg N. Gregoriou and Kevin McCarthy).
19. A Reappraisal of the Performance of Hedge Fundes in the Presence of Errors in Variables (Alain Coën, Aurélie Desfleurs, Georges Hübner, Francois-Éric Racicot).
20.Alternative RAPMs for Alternative Investments (AIRAPs)
(Milind Sharma).
PART FOUR:  STATISTICAL PROPERTIES OF HEDGE FUNDS.
21. Explore Different Volatility Regimes and their Impact on Different Hedge Fund Styles (Mark Anson, Ho Ho and Kurt W. Silberstein).
22. Do Extreme Risks Affect the Fund of Hedge Funds Composition? (Laurent Favre).  
23. Hedge Fund Investor's Guide to Understanding Managed Futures (Hilary F. Till  and Joseph Eagleeye).
24. Fat Tail Risk in Portfolios of Hedge Funds and Traditional Investments
(Jean-François Bacmann and Gregor Gawron).
25. Skewing Your Diversification (Mark S. Shore).
26. Are All Investable Equity Long/Short Hedge Fund Indices Created Equal?
(Edward Leung and Jaqueleine Meziani).
27. Hedge Funds and Portfolio Optimization – A Game for its Own? (Zsolt Berenyi).
PART FIVE: SPECIAL CLASSES OF HEDGE FUNDS.
28. Structured Products on Fund of Fund Underlyings (Jens Johansen). 
29. Hedge Funds and the Stale Pricing Issue (Mohamed Gaber, Greg N. Gregoriou and William Kelting).

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