Description
Andrew Lo's Hedge Funds is likely to be the high-water mark in the analysis of hedge funds for years to come. Focusing on hedge fund returns and trading strategies, risk characteristics, and potential for illiquidity, Lo brings to bear his always fresh and insightful thinking. -- Richard Bookstaber, author of "A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation" Lo offers a truly unique perspective. He examines the properties of returns and illiquidity in great detail and introduces an innovative concept of mean-variance-liquidity optimization, something that no other book on hedge funds has addressed. -- Narayan Y. Naik, London Business School This book provides a useful and very timely overview of key aspects of the hedge fund industry. It summarizes the basic properties of hedge fund returns, discusses why traditional performance measures may be misleading when analyzing hedge fund performance, and highlights important issues such as serial correlation, return smoothing, and illiquidity. -- Markus K. Brunnermeier, Princeton University
About the Author
Andrew W. Lo is the Harris & Harris Group Professor at the MIT Sloan School of Management, and director of the MIT Laboratory for Financial Engineering. He is the coauthor of "A Non-Random Walk Down Wall Street" and "The Econometrics of Financial Markets" (both Princeton).
Reviews
"Andrew Lo is a major figure in finance so his new book on the fast-moving world of hedge funds ought to be in the 'must read' category... The book is the authoritative distillation into an accessible form of a huge amount of academic research and practical experience... Professor Lo gives a masterful illustration of the problems in gauging hedge fund performance with his famous fantasy fund Capital Decimation Partners."--Steven Bell, The Business Economist "Anyone who is considering investing in hedge funds, or is involved in regulating the financial-services industry, should give it a go."--The Economist "Finally a serious book on hedge funds based on real data, written by a leading financial economist."--Tyler Cowen, Marginal Revolution "For scholars already familiar with the concepts of modern portfolio theory, the book is a good start in a quest to expand their knowledge of hedge funds strategies... As one of the leading researchers in the field, Lo sets the standard by establishing key concepts for the industry with this book."--Marcel Mollenbeck, Financial Markets and Portfolio Management
Book Information
ISBN 9780691145983
Author Andrew W. Lo
Format Paperback
Page Count 400
Imprint Princeton University Press
Publisher Princeton University Press
Weight(grams) 567g