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Hedge Funds

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Hedge Funds

Hedge Funds

Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation

- Collection Wiley Finance

654 pages, parution le 29/09/2005

Résumé

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.

L'auteur Greg N. Gregoriou

Greg N. Gregoriou is Associate Professor of Finance and coordinator of faculty research in the School of Business and Economics at State University of New York, College at Plattsburgh. He obtained his PhD (Finance) from the University of Quebec at Montreal and is the hedge fund editor for the peer-reviewed journal Derivatives Use, Trading and Regulation published by Henry Stewart Publications based in the U.K. He has authored over 40 articles on hedge funds, and managed futures in various US and UK peer-reviewed publications, including the Journal of Futures Markets, European Journal of Finance, Journal of Asset Management, European Journal of Operational Research, and Annals of Operations Research. This is his fourth book with John Wiley & Sons.

L'auteur Georges Hübner

Georges Hübner (coordinateur) Professeur de finance à l'université de Liège, à l'université de Maastricht, à l'EDHEC et à la Solvay Business School (Bruxelles).

L'auteur Fabrice Douglas Rouah

Fabrice Douglas Rouah is a Senior Quantitative Analyst at a large financial firm in Boston. He is coauthor and coeditor of four books on hedge funds and CTAs. This is his third book with John Wiley & Sons.

Sommaire

  • Portfolio Allocation in Hedge Funds
    • Integrating Hedge Funds into the Traditional Portfolio (Harry M Kat)
    • Hedge Funds from the Institutional Investor's Perspective (Noël Amenc, Felix Goltz, and Lionel Martellini)
    • Funds of Hedge Funds versus Portfolios of Hedge Funds: A Comparative Analysis (Daniel Capocci and Valérie Nevolo)
    • Analyzing Style Drift in Hedge Funds (Nolke Posthuma and Pieter Jelle Van der Sluis)
    • Hedge Fund Allocation under Higher Moments and Illiquidity (Niclas Hagelin, Bengt Pramborg, and Fredrik Stenberg)
    • Revisiting the Role of Hedge Funds in Diversified Portfolios (Jean Brunel)
    • Hedge Fund Selection: A Synthetic Desirability Index (Jean-Pierre Langevin)
  • Hedge Fund Management
    • Hedge Fund Index Tracking (Carol Alexander and Anca Dimitriu)
    • Designing a Long-Term Wealth Maximization Strategy for Hedge Fund Managers (Keith H Black)
    • Profiles of Hedge Fund Indexes against Conventional Asset Style Indexes (Barry Feldman)
    • Applying Securitization Technology to Hedge Funds (Paul U Ali)
    • Maximum Drawdown Distributions with Volatility Persistence (Kathyrn Wilkens, Carlos J Morales, and Luis Roman)
  • Risk and Performance Measurement
    • A Literature Review of Hedge Fund Performance Studies (Fabrice Rouah)
    • Investing in Hedge Funds through Multimanager Vehicles (Meredith A Jones)
    • Performance in the Hedge Fund Industry: An Analysis of Short- and Long-term Persistence (Sébastien Gyger, P-A Bares, and R Gibson)
    • Further Evidence on Hedge Fund Performance: A Calendar-Time Approach (Maher Kooli)
    • Investing in Hedge Funds: Risks, Returns, and Performance Measurement (Francis C C Koh, Winston T H Koh, David K C Lee, Kok Fai Phoon)
    • Efficiency of Funds of Hedge Funds: A Data Envelopment Analysis Approach (Greg N Gregoriou and Kevin McCarthy)
    • The Performance of Hedge Funds in the Presence of Errors in Variables (Alain Coën, Aurélie Desfleurs, Georges Hübner, and François-Éric Racicot)
    • Alternative RAPMs for Alternative Investments (Milind Sharma)
  • Statistical Properties of Hedge Funds
    • Volatility Regimes and Hedge Fund Management (Mark Anson, Ho Ho, and Kurt W Silberstein)
    • Does Extreme Risk Affect the Fund of Hedge Funds Composition? (Laurent Favre)
    • A Hedge Fund Investor's Guide to Understanding Managed Futures (Hilary F Till and Joseph Eagleeye)
    • Fat-Tail Risk in Portfolios of Hedge Funds and Traditional Investments (Jean-François Bacmann and Gregor Gawron)
    • Skewing Your Diversification (Mark S Shore)
    • Investable Equity Long/Short Hedge Funds: Properties and Behavior (Edward Leung and Jacqueline Meziani)
    • Hedge Funds and Portfolio Optimization: A Game of Its Own? (Zsolt Berenyi)
  • Special Classes of Hedge Funds
    • Structured Products on Fund of Fund Underlyings (Jens Johansen)
    • Hedge Funds and the Stale Pricing Issue (Mohamed Gaber, Greg N Gregoriou, and William Kelting)
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Caractéristiques techniques du livre "Hedge Funds"

  PAPIER
Éditeur(s) Wiley
Auteur(s) Greg N. Gregoriou, Georges Hübner, Nicolas Papageorggiou, Fabrice Douglas Rouah
Collection Wiley Finance
Parution 29/09/2005
Nb. de pages 654
Format 15,5 x 23,5
Couverture Relié
Poids 935g
Intérieur Noir et Blanc
EAN13 9780471737438
ISBN13 978-0-471-73743-8
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