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Hedge funds : insights in performance measurement, risk analysis, and portfolio allocation

Author: Greg N Gregoriou
Publisher: Hoboken, N.J. : John Wiley & Sons, ©2005.
Series: Wiley finance series.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:
"Divided into five comprehensive parts, this guide reveals some of the most important issues encountered by today's academics and practitioners as they work with hedge funds. Their individual analysis deals with a variety of topics, from new methods of hedge fund performance evaluation to portfolio allocation and risk/return matters. Although some of the information is technical in nature, including econometric and  Read more...
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Genre/Form: Guide (Descripteur de forme)
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Greg N Gregoriou
ISBN: 0471737437 9780471737438
OCLC Number: 57966053
Description: xxx, 653 pages : illustrations ; 24 cm.
Contents: Ch. 1. Integrating hedge funds into the traditional portfolio / Harry M. Kat --
Ch. 2. Hedge funds from the institutional investor's perspective / Noel Amenc, Felix Goltz and Lionel Martellini --
Ch. 3. Funds of hedge funds versus portfolios of hedge funds : a comparative analysis / Daniel Capocci and Valerie Nevolo --
Ch. 4. Analyzing style drift in hedge funds / Nolke Posthuma and Pieter Jelle Van der Sluis --
Ch. 5. Hedge fund allocation under higher moments and illiquidity / Niclas Hagelin, Bengt Pramborg and Fredrik Stenberg --
Ch. 6. Revisiting the role of hedge funds in diversified portfolios / Jean Brunel --
Ch. 7. Hedge fund selection : a synthetic desirability index / Jean-Pierre Langevin --
Ch. 8. Hedge fund index tracking / Carol Alexander and Anca Dimitriu --
Ch. 9. Designing a long-term wealth maximization strategy for hedge fund managers / Keith H. Black --
Ch. 10. Profiles of hedge fund indexes against conventional asset style indexes / Barry Feldman --
Ch. 11. Applying securitization technology to hedge funds / Paul U. Ali --
Ch. 12. Maximum drawdown distributions with volatility persistence / Kathyrn Wilkens, Carlos J. Morales and Luis Roman --
Ch. 13. A literature review of hedge fund performance studies / Fabrice Rouah --
Ch. 14. Investing in hedge funds through multimanager vehicles / Meredith A. Jones --
Ch. 15. Performance in the hedge fund industry : an analysis of short- and long-term persistence / Sebastien Gyger, P.-A. Bares and R. Gibson --
Ch. 16. Further evidence on hedge fund performance : a calendar-time approach / Maher Kooli --
Ch. 17. Investing in hedge funds : risks, returns, and performance measurement / Francis C.C. Koh, Winston T.H. Koh, David K.C. Lee and Kok Fai Phoon --
Ch. 18. Efficiency of funds of hedge funds : a data envelopment analysis approach / Greg N. Gregoriou and Kevin McCarthy. Ch. 19. The performance of hedge funds in the presence of errors in variables / Alain Coen, Aurelie Desfleurs, Georges Hubner and Francois-Eric Racicot --
Ch. 20. Alternative RAPMs for alternative investments / Milind Sharma --
Ch. 21. Volatility regimes and hedge fund management / Mark Anson, Ho Ho and Kurt W. Silberstein --
Ch. 22. Does extreme risk affect the fund of hedge funds composition? / Laurent Favre --
Ch. 23. A hedge fund investor's guide to understanding managed futures / Hilary F. Till and Joseph Eagleeye --
Ch. 24. Fat-tail risk in portfolios of hedge funds and traditional investments / Jean-Francois Bacmann and Gregor Gawron --
Ch. 25. Skewing your diversification / Mark S. Shore --
Ch. 26. Investable equity long/short hedge funds : properties and behavior / Edward Leung and Jacqueline Meziani --
Ch. 27. Hedge funds and portfolio optimization : a game of its own? / Zsolt Berenyi --
Ch. 28. Structured products on fund of fund underlyings / Jens Johansen --
Ch. 29. Hedge funds and the stale pricing issue / Mohamed Gaber, Greg N. Gregoriou and William Kelting.
Series Title: Wiley finance series.
Responsibility: Greg N. Gregoriou [and others].
More information:

Abstract:

"Divided into five comprehensive parts, this guide reveals some of the most important issues encountered by today's academics and practitioners as they work with hedge funds. Their individual analysis deals with a variety of topics, from new methods of hedge fund performance evaluation to portfolio allocation and risk/return matters. Although some of the information is technical in nature, including econometric and statistical models, an understanding and applicability of the results as well as theoretical developments are stressed." "Filled with in-depth insight and expert advice, Hedge Funds can help you - whether you're an institutional investor or high-net-worth individual - make the most of this flexible investment vehicle."--Jacket.

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