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Hedge Funds: An Analytic Perspective Updated Edition

Author

Listed:
  • Andrew W. Lo

Abstract

The hedge fund industry has grown dramatically over the last two decades, with more than eight thousand funds now controlling close to two trillion dollars. Originally intended for the wealthy, these private investments have now attracted a much broader following that includes pension funds and retail investors. Because hedge funds are largely unregulated and shrouded in secrecy, they have developed a mystique and allure that can beguile even the most experienced investor. In Hedge Funds, Andrew Lo--one of the world's most respected financial economists--addresses the pressing need for a systematic framework for managing hedge fund investments. Arguing that hedge funds have very different risk and return characteristics than traditional investments, Lo constructs new tools for analyzing their dynamics, including measures of illiquidity exposure and performance smoothing, linear and nonlinear risk models that capture alternative betas, econometric models of hedge fund failure rates, and integrated investment processes for alternative investments. In a new chapter, he looks at how the strategies for and regulation of hedge funds have changed in the aftermath of the financial crisis.

Suggested Citation

  • Andrew W. Lo, 2010. "Hedge Funds: An Analytic Perspective Updated Edition," Economics Books, Princeton University Press, edition 1, number 9177.
    • Handle: RePEc:pup:pbooks:9177
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    Citations

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    Cited by:

    1. Daniel Barth & Laurel Hammond & Phillip Monin, 2020. "Leverage and Risk in Hedge Funds," Working Papers 20-02, Office of Financial Research, US Department of the Treasury.
    2. William H. Press, 2023. "NYSE Price Correlations Are Abitrageable Over Hours and Predictable Over Years," Papers 2305.08241, arXiv.org.
    3. Huck, Nicolas, 2019. "Large data sets and machine learning: Applications to statistical arbitrage," European Journal of Operational Research, Elsevier, vol. 278(1), pages 330-342.
    4. Guo, Ming & Ou-Yang, Hui, 2021. "Alpha decay and Sharpe ratio: Two measures of investor performance," Economic Modelling, Elsevier, vol. 104(C).
    5. Zura Kakushadze, 2020. "Quant Bust 2020," Papers 2006.05632, arXiv.org.
    6. Rahman, Md Lutfur & Al Mamun, Mohammed Abdullah, 2021. "How resilient are the Asia Pacific financial markets against a global pandemic?," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).

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