Hedge Funds: An Analytic Perspective Book

List of Tables

List of Figures

List of Color Plates

1 Introduction 1

2 Basic Properties of Hedge Fund Returns 34

3 Serial Correlation, Smoothed Returns, and Illiquidity 64

4 Optimal Liquidity 97

5 Hedge Fund Beta Replication 121

6 A New Measure of Active Investment Management 168

7 Hedge Funds and Systemic Risk 198

8 An Integrated Hedge Fund Investment Process 217

9 Practical Considerations 237

10 What Happened to the Quants in August 2007? 255

Appendix 303

References 317

Index 331