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.
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