Evaluating hedge fund and CTA performance [[electronic resource] ] : data envelopment analysis approach / / Greg N. Gregoriou, Joe Zhu |
Autore | Gregoriou Greg N. <1956-> |
Pubbl/distr/stampa | Hoboken, N.J., : J. Wiley, c2005 |
Descrizione fisica | 1 online resource (178 p.) |
Disciplina | 332.64/5 |
Altri autori (Persone) | ZhuJoe <1968-> |
Collana | Wiley finance series |
Soggetto topico |
Hedge funds - Evaluation
Data envelopment analysis |
Soggetto genere / forma | Electronic books. |
ISBN |
1-280-27681-9
9786610276813 0-471-73004-1 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Fund selection and data envelopment analysis -- Dea models -- Classification methods -- Benchmarking models -- Data, inputs and outputs -- Application of basic dea models -- Application of returns-to-scale -- Application of context-dependent dea -- Application of fixed-and variable-benchmark models -- Closing remarks. |
Record Nr. | UNINA-9910457731303321 |
Gregoriou Greg N. <1956->
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Hoboken, N.J., : J. Wiley, c2005 | ||
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Lo trovi qui: Univ. Federico II | ||
|
Evaluating hedge fund and CTA performance [[electronic resource] ] : data envelopment analysis approach / / Greg N. Gregoriou, Joe Zhu |
Autore | Gregoriou Greg N. <1956-> |
Pubbl/distr/stampa | Hoboken, N.J., : J. Wiley, c2005 |
Descrizione fisica | 1 online resource (178 p.) |
Disciplina | 332.64/5 |
Altri autori (Persone) | ZhuJoe <1968-> |
Collana | Wiley finance series |
Soggetto topico |
Hedge funds - Evaluation
Data envelopment analysis |
ISBN |
1-280-27681-9
9786610276813 0-471-73004-1 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Fund selection and data envelopment analysis -- Dea models -- Classification methods -- Benchmarking models -- Data, inputs and outputs -- Application of basic dea models -- Application of returns-to-scale -- Application of context-dependent dea -- Application of fixed-and variable-benchmark models -- Closing remarks. |
Record Nr. | UNINA-9910784405403321 |
Gregoriou Greg N. <1956->
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||
Hoboken, N.J., : J. Wiley, c2005 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Evaluating hedge fund and CTA performance : data envelopment analysis approach / / Greg N. Gregoriou, Joe Zhu |
Autore | Gregoriou Greg N. <1956-> |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Hoboken, N.J., : J. Wiley, c2005 |
Descrizione fisica | 1 online resource (178 p.) |
Disciplina | 332.64/5 |
Altri autori (Persone) | ZhuJoe <1968-> |
Collana | Wiley finance series |
Soggetto topico |
Hedge funds - Evaluation
Data envelopment analysis |
ISBN |
1-280-27681-9
9786610276813 0-471-73004-1 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Fund selection and data envelopment analysis -- Dea models -- Classification methods -- Benchmarking models -- Data, inputs and outputs -- Application of basic dea models -- Application of returns-to-scale -- Application of context-dependent dea -- Application of fixed-and variable-benchmark models -- Closing remarks. |
Record Nr. | UNINA-9910823942003321 |
Gregoriou Greg N. <1956->
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||
Hoboken, N.J., : J. Wiley, c2005 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
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Funds of hedge funds [[electronic resource] ] : performance, assessment, diversification, and statistical properties / / edited by Greg N. Gregoriou |
Pubbl/distr/stampa | Amsterdam ; ; Boston, : Butterworth/Heinemann/Elsevier, c2006 |
Descrizione fisica | 1 online resource (497 p.) |
Disciplina | 332.64/5 |
Altri autori (Persone) | GregoriouGreg N. <1956-> |
Collana | Quantitative finance series |
Soggetto topico |
Hedge funds
Risk management Hedge funds - Evaluation Investment analysis - Mathematical models |
Soggetto genere / forma | Electronic books. |
ISBN |
1-281-01612-8
9786611016128 0-08-047282-6 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Front Cover; Title page; Copyright Page; Table of Contents; Preface and Acknowledgments; About the editor; List of contributors; Part One: Performance; 1 Rank alpha funds of hedge funds; 1.1 Introduction; 1.2 Hedge fund data and biases; 1.3 Factor models for hedge funds; 1.4 Model estimation; 1.5 Rank alpha; 1.6 Optimizing funds of hedge funds; 1.7 Cleaning the covariance matrix; 1.8 Performance analysis of rank alpha portfolios; 1.9 Conclusion; References; 2 Funds of hedge funds: bias and persistence in returns; 2.1 Introduction; 2.2 Database; 2.3 Methodology; 2.4 Descriptive statistics
2.5 Bias analysis2.6 Persistence in performance; 2.7 Conclusion; References; 3 Replication and evaluation of funds of hedge funds returns; 3.1 Introduction; 3.2 The KP efficiency measure; 3.3 Evaluation results; 3.4 Distributional analysis; 3.5 Conclusion; References; 4 Performance, size, and new opportunities in the funds of hedge funds industry; 4.1 Introduction; 4.2 Experimental framework; 4.3 Factor model for fund of funds; 4.4 Sample formation; 4.5 Performance decomposition of FOF portfolios; 4.6 Principal components of FOF returns; 4.7 Conclusion; References 5 Optimal fund of funds asset allocation: hedge funds, CTAs, and REITs5.1 Introduction; 5.2 Data; 5.3 Methodology; 5.4 Results; 5.5 Conclusion; References; 6 The changing performance and risks of funds of funds in the modern period; 6.1 Characteristics of funds of funds; 6.2 Comparing returns: funds of funds vs. hedge funds; 6.3 Ancient history vs. modern history: LTCM as the defining moment; 6.4 Factor analysis of returns; 6.5 The future of funds of funds; References; 7 Hedge fund indices: Are they cost-effective alternatives to funds of funds?; 7.1 Introduction; 7.2 Funds of funds 7.3 Investable hedge fund indices7.4 Distribution of returns and potential biases; 7.5 Asset-based style factors; 7.6 Mean excess return and Sharpe ratio comparisons; 7.7 Fung and Hsieh model alphas and information ratio comparisons; 7.8 Correlation with traditional asset returns and lagged equity return comparisons; 7.9 Conclusion; References; 8 Simple hedge fund strategies as an alternative to funds of funds: evidence from large-cap funds; 8.1 Introduction; 8.2 Data; 8.3 Methodology; 8.4 Empirical results; 8.5 Conclusion; References Part Two: Diversification, Selection, Allocation, and Hedge Fund Indices9 Funds of funds of hedge funds: welcome to diworsification; 9.1 Introduction; 9.2 The art and science of diversification; 9.3 Analysis; 9.4 Diversification results; 9.5 How about the fees?; 9.6 Conclusion; References; 10 Style analysis of funds of hedge funds: measurement of asset allocation and style drift; 10.1 Introduction; 10.2 Sharpe's model for style analysis; 10.3 Data set; 10.4 Hedge fund classification; 10.5 Accuracy of Sharpe's model; 10.6 Measuring the style drift; 10.7 Conclusion; References; Appendix 11 Gains from adding funds of hedge funds to portfolios of traditional assets: an international perspective |
Record Nr. | UNINA-9910457088303321 |
Amsterdam ; ; Boston, : Butterworth/Heinemann/Elsevier, c2006 | ||
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Lo trovi qui: Univ. Federico II | ||
|
Funds of hedge funds [[electronic resource] ] : performance, assessment, diversification, and statistical properties / / edited by Greg N. Gregoriou |
Pubbl/distr/stampa | Amsterdam ; ; Boston, : Butterworth/Heinemann/Elsevier, c2006 |
Descrizione fisica | 1 online resource (497 p.) |
Disciplina | 332.64/5 |
Altri autori (Persone) | GregoriouGreg N. <1956-> |
Collana | Quantitative finance series |
Soggetto topico |
Hedge funds
Risk management Hedge funds - Evaluation Investment analysis - Mathematical models |
ISBN |
1-281-01612-8
9786611016128 0-08-047282-6 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Front Cover; Title page; Copyright Page; Table of Contents; Preface and Acknowledgments; About the editor; List of contributors; Part One: Performance; 1 Rank alpha funds of hedge funds; 1.1 Introduction; 1.2 Hedge fund data and biases; 1.3 Factor models for hedge funds; 1.4 Model estimation; 1.5 Rank alpha; 1.6 Optimizing funds of hedge funds; 1.7 Cleaning the covariance matrix; 1.8 Performance analysis of rank alpha portfolios; 1.9 Conclusion; References; 2 Funds of hedge funds: bias and persistence in returns; 2.1 Introduction; 2.2 Database; 2.3 Methodology; 2.4 Descriptive statistics
2.5 Bias analysis2.6 Persistence in performance; 2.7 Conclusion; References; 3 Replication and evaluation of funds of hedge funds returns; 3.1 Introduction; 3.2 The KP efficiency measure; 3.3 Evaluation results; 3.4 Distributional analysis; 3.5 Conclusion; References; 4 Performance, size, and new opportunities in the funds of hedge funds industry; 4.1 Introduction; 4.2 Experimental framework; 4.3 Factor model for fund of funds; 4.4 Sample formation; 4.5 Performance decomposition of FOF portfolios; 4.6 Principal components of FOF returns; 4.7 Conclusion; References 5 Optimal fund of funds asset allocation: hedge funds, CTAs, and REITs5.1 Introduction; 5.2 Data; 5.3 Methodology; 5.4 Results; 5.5 Conclusion; References; 6 The changing performance and risks of funds of funds in the modern period; 6.1 Characteristics of funds of funds; 6.2 Comparing returns: funds of funds vs. hedge funds; 6.3 Ancient history vs. modern history: LTCM as the defining moment; 6.4 Factor analysis of returns; 6.5 The future of funds of funds; References; 7 Hedge fund indices: Are they cost-effective alternatives to funds of funds?; 7.1 Introduction; 7.2 Funds of funds 7.3 Investable hedge fund indices7.4 Distribution of returns and potential biases; 7.5 Asset-based style factors; 7.6 Mean excess return and Sharpe ratio comparisons; 7.7 Fung and Hsieh model alphas and information ratio comparisons; 7.8 Correlation with traditional asset returns and lagged equity return comparisons; 7.9 Conclusion; References; 8 Simple hedge fund strategies as an alternative to funds of funds: evidence from large-cap funds; 8.1 Introduction; 8.2 Data; 8.3 Methodology; 8.4 Empirical results; 8.5 Conclusion; References Part Two: Diversification, Selection, Allocation, and Hedge Fund Indices9 Funds of funds of hedge funds: welcome to diworsification; 9.1 Introduction; 9.2 The art and science of diversification; 9.3 Analysis; 9.4 Diversification results; 9.5 How about the fees?; 9.6 Conclusion; References; 10 Style analysis of funds of hedge funds: measurement of asset allocation and style drift; 10.1 Introduction; 10.2 Sharpe's model for style analysis; 10.3 Data set; 10.4 Hedge fund classification; 10.5 Accuracy of Sharpe's model; 10.6 Measuring the style drift; 10.7 Conclusion; References; Appendix 11 Gains from adding funds of hedge funds to portfolios of traditional assets: an international perspective |
Record Nr. | UNINA-9910784356203321 |
Amsterdam ; ; Boston, : Butterworth/Heinemann/Elsevier, c2006 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Funds of hedge funds : performance, assessment, diversification, and statistical properties / / edited by Greg N. Gregoriou |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Amsterdam ; ; Boston, : Butterworth/Heinemann/Elsevier, c2006 |
Descrizione fisica | 1 online resource (497 p.) |
Disciplina | 332.64/5 |
Altri autori (Persone) | GregoriouGreg N. <1956-> |
Collana | Quantitative finance series |
Soggetto topico |
Hedge funds
Risk management Hedge funds - Evaluation Investment analysis - Mathematical models |
ISBN |
1-281-01612-8
9786611016128 0-08-047282-6 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Front Cover; Title page; Copyright Page; Table of Contents; Preface and Acknowledgments; About the editor; List of contributors; Part One: Performance; 1 Rank alpha funds of hedge funds; 1.1 Introduction; 1.2 Hedge fund data and biases; 1.3 Factor models for hedge funds; 1.4 Model estimation; 1.5 Rank alpha; 1.6 Optimizing funds of hedge funds; 1.7 Cleaning the covariance matrix; 1.8 Performance analysis of rank alpha portfolios; 1.9 Conclusion; References; 2 Funds of hedge funds: bias and persistence in returns; 2.1 Introduction; 2.2 Database; 2.3 Methodology; 2.4 Descriptive statistics
2.5 Bias analysis2.6 Persistence in performance; 2.7 Conclusion; References; 3 Replication and evaluation of funds of hedge funds returns; 3.1 Introduction; 3.2 The KP efficiency measure; 3.3 Evaluation results; 3.4 Distributional analysis; 3.5 Conclusion; References; 4 Performance, size, and new opportunities in the funds of hedge funds industry; 4.1 Introduction; 4.2 Experimental framework; 4.3 Factor model for fund of funds; 4.4 Sample formation; 4.5 Performance decomposition of FOF portfolios; 4.6 Principal components of FOF returns; 4.7 Conclusion; References 5 Optimal fund of funds asset allocation: hedge funds, CTAs, and REITs5.1 Introduction; 5.2 Data; 5.3 Methodology; 5.4 Results; 5.5 Conclusion; References; 6 The changing performance and risks of funds of funds in the modern period; 6.1 Characteristics of funds of funds; 6.2 Comparing returns: funds of funds vs. hedge funds; 6.3 Ancient history vs. modern history: LTCM as the defining moment; 6.4 Factor analysis of returns; 6.5 The future of funds of funds; References; 7 Hedge fund indices: Are they cost-effective alternatives to funds of funds?; 7.1 Introduction; 7.2 Funds of funds 7.3 Investable hedge fund indices7.4 Distribution of returns and potential biases; 7.5 Asset-based style factors; 7.6 Mean excess return and Sharpe ratio comparisons; 7.7 Fung and Hsieh model alphas and information ratio comparisons; 7.8 Correlation with traditional asset returns and lagged equity return comparisons; 7.9 Conclusion; References; 8 Simple hedge fund strategies as an alternative to funds of funds: evidence from large-cap funds; 8.1 Introduction; 8.2 Data; 8.3 Methodology; 8.4 Empirical results; 8.5 Conclusion; References Part Two: Diversification, Selection, Allocation, and Hedge Fund Indices9 Funds of funds of hedge funds: welcome to diworsification; 9.1 Introduction; 9.2 The art and science of diversification; 9.3 Analysis; 9.4 Diversification results; 9.5 How about the fees?; 9.6 Conclusion; References; 10 Style analysis of funds of hedge funds: measurement of asset allocation and style drift; 10.1 Introduction; 10.2 Sharpe's model for style analysis; 10.3 Data set; 10.4 Hedge fund classification; 10.5 Accuracy of Sharpe's model; 10.6 Measuring the style drift; 10.7 Conclusion; References; Appendix 11 Gains from adding funds of hedge funds to portfolios of traditional assets: an international perspective |
Record Nr. | UNINA-9910806895303321 |
Amsterdam ; ; Boston, : Butterworth/Heinemann/Elsevier, c2006 | ||
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Lo trovi qui: Univ. Federico II | ||
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Hedge fund governance : evaluating oversight, independence, and conflicts / / Jason Scharfman |
Autore | Scharfman Jason |
Pubbl/distr/stampa | San Diego, California ; ; Waltham, Massachusetts ; ; Oxford, England : , : Academic Press, , 2015 |
Descrizione fisica | 1 online resource (387 p.) |
Disciplina | 332.645 |
Soggetto topico |
Hedge funds - Evaluation
Hedge funds - Law and legislation Hedge funds - Management |
Soggetto genere / forma | Electronic books. |
ISBN | 0-12-802512-3 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
""Cover""; ""Title Page""; ""Copyright Page""; ""Dedication""; ""Contents""; ""Biography""; ""Preface""; ""Chapter 1 - Introduction to Hedge Fund Governance""; ""Introduction to the concept of governance""; ""Why should investors care about hedge fund governance?""; ""Governance: a vague concept?""; ""How should investors think about hedge fund governance?""; ""What hedge fund entities are investors looking at to promote good governance?""; ""Distinguishing between governance and due diligence""; ""Is governance controlled by the hedge fund board of directors?""
""Governance outside of hedge funds""""The origins of hedge fund governance lie in corporate governance""; ""Historical perspectives on corporate governance""; ""Investor-driven governance""; ""Governance in the Prewar Period""; ""The Postwar Era of Governance From the 1960s""; ""Focus on Insider Trading in the United States""; ""Rise of the Class Action Lawsuit""; ""1970s: The Decade of Governance""; ""Rise of Agency Theory""; ""1980s Onward�The Growth of Modern Corporate Governance Reforms""; ""A Growth in Governance Failures and Frauds at Large Corporations"" ""Defining hedge fund governance""""A universal definition of governance?""; ""Is governance defined by perspective?""; ""Who is responsible for hedge fund governance?""; ""Is governance primarily an investment-related concept?""; ""Distinguishing between governance and hedge fund activists""; ""Hedge fund governance: a working definition""; ""References""; ""Chapter 2 - Hedge Fund Board of Directors: A Governance Proxy?""; ""Introduction to the hedge fund board of directors""; ""Are vitriolic director criticisms merited? Clarifying a modest proposal"" ""Introduction to regulatory governance"" |
Record Nr. | UNINA-9910459985603321 |
Scharfman Jason
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||
San Diego, California ; ; Waltham, Massachusetts ; ; Oxford, England : , : Academic Press, , 2015 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Hedge fund governance : evaluating oversight, independence, and conflicts / / Jason Scharfman |
Autore | Scharfman Jason |
Pubbl/distr/stampa | San Diego, California ; ; Waltham, Massachusetts ; ; Oxford, England : , : Academic Press, , 2015 |
Descrizione fisica | 1 online resource (387 p.) |
Disciplina | 332.645 |
Soggetto topico |
Hedge funds - Evaluation
Hedge funds - Law and legislation Hedge funds - Management |
ISBN | 0-12-802512-3 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
""Cover""; ""Title Page""; ""Copyright Page""; ""Dedication""; ""Contents""; ""Biography""; ""Preface""; ""Chapter 1 - Introduction to Hedge Fund Governance""; ""Introduction to the concept of governance""; ""Why should investors care about hedge fund governance?""; ""Governance: a vague concept?""; ""How should investors think about hedge fund governance?""; ""What hedge fund entities are investors looking at to promote good governance?""; ""Distinguishing between governance and due diligence""; ""Is governance controlled by the hedge fund board of directors?""
""Governance outside of hedge funds""""The origins of hedge fund governance lie in corporate governance""; ""Historical perspectives on corporate governance""; ""Investor-driven governance""; ""Governance in the Prewar Period""; ""The Postwar Era of Governance From the 1960s""; ""Focus on Insider Trading in the United States""; ""Rise of the Class Action Lawsuit""; ""1970s: The Decade of Governance""; ""Rise of Agency Theory""; ""1980s Onward�The Growth of Modern Corporate Governance Reforms""; ""A Growth in Governance Failures and Frauds at Large Corporations"" ""Defining hedge fund governance""""A universal definition of governance?""; ""Is governance defined by perspective?""; ""Who is responsible for hedge fund governance?""; ""Is governance primarily an investment-related concept?""; ""Distinguishing between governance and hedge fund activists""; ""Hedge fund governance: a working definition""; ""References""; ""Chapter 2 - Hedge Fund Board of Directors: A Governance Proxy?""; ""Introduction to the hedge fund board of directors""; ""Are vitriolic director criticisms merited? Clarifying a modest proposal"" ""Introduction to regulatory governance"" |
Record Nr. | UNINA-9910787295303321 |
Scharfman Jason
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||
San Diego, California ; ; Waltham, Massachusetts ; ; Oxford, England : , : Academic Press, , 2015 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Hedge fund governance : evaluating oversight, independence, and conflicts / / Jason Scharfman |
Autore | Scharfman Jason |
Pubbl/distr/stampa | San Diego, California ; ; Waltham, Massachusetts ; ; Oxford, England : , : Academic Press, , 2015 |
Descrizione fisica | 1 online resource (387 p.) |
Disciplina | 332.645 |
Soggetto topico |
Hedge funds - Evaluation
Hedge funds - Law and legislation Hedge funds - Management |
ISBN | 0-12-802512-3 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
""Cover""; ""Title Page""; ""Copyright Page""; ""Dedication""; ""Contents""; ""Biography""; ""Preface""; ""Chapter 1 - Introduction to Hedge Fund Governance""; ""Introduction to the concept of governance""; ""Why should investors care about hedge fund governance?""; ""Governance: a vague concept?""; ""How should investors think about hedge fund governance?""; ""What hedge fund entities are investors looking at to promote good governance?""; ""Distinguishing between governance and due diligence""; ""Is governance controlled by the hedge fund board of directors?""
""Governance outside of hedge funds""""The origins of hedge fund governance lie in corporate governance""; ""Historical perspectives on corporate governance""; ""Investor-driven governance""; ""Governance in the Prewar Period""; ""The Postwar Era of Governance From the 1960s""; ""Focus on Insider Trading in the United States""; ""Rise of the Class Action Lawsuit""; ""1970s: The Decade of Governance""; ""Rise of Agency Theory""; ""1980s Onward�The Growth of Modern Corporate Governance Reforms""; ""A Growth in Governance Failures and Frauds at Large Corporations"" ""Defining hedge fund governance""""A universal definition of governance?""; ""Is governance defined by perspective?""; ""Who is responsible for hedge fund governance?""; ""Is governance primarily an investment-related concept?""; ""Distinguishing between governance and hedge fund activists""; ""Hedge fund governance: a working definition""; ""References""; ""Chapter 2 - Hedge Fund Board of Directors: A Governance Proxy?""; ""Introduction to the hedge fund board of directors""; ""Are vitriolic director criticisms merited? Clarifying a modest proposal"" ""Introduction to regulatory governance"" |
Record Nr. | UNINA-9910828116203321 |
Scharfman Jason
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||
San Diego, California ; ; Waltham, Massachusetts ; ; Oxford, England : , : Academic Press, , 2015 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
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Market risk management for hedge funds [[electronic resource] ] : foundations of the style and implicit value-at-risk / / François Duc and Yann Schorderet |
Autore | Duc François |
Edizione | [1st edition] |
Pubbl/distr/stampa | John Wiley & Sons, : Chichester, West Sussex, England ; Hoboken, NJ, c2008 |
Descrizione fisica | 1 online resource (268 p.) |
Disciplina | 332.64/524 |
Altri autori (Persone) | SchorderetYann |
Collana | The Wiley Finance Series |
Soggetto topico |
Hedge funds
Risk management Hedge funds - Evaluation Investment analysis - Mathematical models |
ISBN |
1-119-20624-3
1-282-68749-2 9786612687495 0-470-74079-5 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Market Risk Management for Hedge Funds; Contents; Acknowledgements; 1 Introduction; PART I FUNDAMENTALS FOR STYLE AND IMPLICIT VALUE-AT-RISK; 2 Ongoing Institutionalization; 2.1 Hedge Fund Industry Size and Asset Flows; 2.2 Style Distribution; 2.3 2006-2007 Structural Developments; 2.3.1 Geography, Listing, Independent Arbitrators and Back Office; 2.3.2 Pricing and Side Pockets; 2.4 Are Hedge Funds Becoming Decent?; 2.4.1 Improved Market Efficiency; 2.4.2 Transfer of Risk; 2.4.3 Liquidity Suppliers; 2.4.4 Captive Capital?; 2.4.5 The Black Sheep of Capitalism?
2.5 Funds of Hedge Funds Persistence 2.5.1 Conditional Persistence; 2.5.2 Interquartile Spreads; 3 Heterogeneity of Hedge Funds; 3.1 Testing Sample; 3.2 Smoothing Effect of a Restrictive Classification; 3.3 Heterogeneity Revealed through Modern Cluster Analysis; 3.3.1 Modern Cluster Analysis Measures of a Classification; 3.3.2 Empirical Comparison; 3.3.3 Consequence For Value-at-Risk; 3.4 Appendix A: Indices Sample; 4 Active and Passive Hedge Fund Indices; 4.1 Illusions Fostered by Active Hedge Fund Indices; 4.1.1 The Illusion of Achieving Purity; 4.1.2 The Illusion of Representativeness 4.1.3 The Illusion of Optimality 4.2 Passive Indices and the Illusion of being Clones; 4.2.1 Mechanical Replication; 4.2.2 Exposure Replication; 4.2.3 Replication of Distributions; 4.3 Conclusion; 5 The Four Dimensions of Risk Management for Hedge Funds; 5.1 Operational and Structural risk; 5.1.1 Sources of Structural Risk; 5.2 Risk Control; 5.3 Delegation Risk; 5.3.1 Market Risk; 5.3.2 Risk Controls; 5.4 Direct Investment Risk; 5.4.1 Underlying Approach; 5.4.2 Strategy Risk Approach; 5.4.3 Overlapping Approaches; 5.5 Conclusion 5.6 Appendix B: Risks Embedded with Some Classical Alternative Strategies 5.6.1 Pure Short Selling; 5.6.2 Long/Short Equity; 5.6.3 Convertible Arbitrage; 5.6.4 Fixed Income Arbitrage; 5.6.5 Risk Arbitrage; 5.7 Appendix C: Other Common Hedge Funds Risks; 5.7.1 Leverage Risk; 5.7.2 Liquidity Risk; 5.7.3 Counter-Party Risk; 5.7.4 Specific Event Risk; PART II STYLE VALUE-AT-RISK; 6 The Original Style VaR Revisited; 6.1 The Multi-Index Model; 6.1.1 The Sharpe (1988) Model; 6.1.2 Application to Hedge Funds; 6.1.3 Hedge Funds Indices as Risk Factors; 6.2 The Style Value-at-Risk 6.2.1 The Value-at-Risk Model 6.2.2 Original Backtesting; 6.3 Backtesting Revisited; 6.3.1 Fundamentals of an Updated Backtesting; 6.3.2 Updated Exception Rate; 6.3.3 Sources of Risk Underestimation; 7 The New Style Model; 7.1 Extreme Value Theory; 7.1.1 The Generalized Pareto Distribution; 7.1.2 Parameter Estimation; 7.1.3 Method Selection; 7.1.4 Extreme Quantiles to Value the Risk; 7.1.5 Assessing the Risk of Hedge Funds; 7.1.6 Dealing with Autocorrelation; 7.2 Risk Consolidation; 7.2.1 Hybrid EVT Approach; 7.2.2 Tail Dependence; 7.2.3 Location Parameters 7.2.4 Extreme Value-at-Idiosyncratic-Risk |
Record Nr. | UNINA-9910139506203321 |
Duc François
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John Wiley & Sons, : Chichester, West Sussex, England ; Hoboken, NJ, c2008 | ||
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Lo trovi qui: Univ. Federico II | ||
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