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eISBN : 9781119945635

Sommaire : Contents
Preface
1. The Hedge Fund Industry
1.1 What Are Hedge Funds?
1.2 The Structure of a Hedge Fund
1.3 The Global Hedge Fund Industry
1.4 Specialist Investment Techniques
1.5 New Developments for Hedge Funds

2. Major Hedge Fund Strategies
2.1 Single- and Multi-Strategy Hedge Funds
2.2 Fund of Hedge Funds
2.3 Hedge Fund Strategies

3. Hedge Fund Data Sources
3.1 Hedge Fund Databases
3.2 Major Hedge Fund Indices
3.3 Database and Index Biases
3.4 Benchmarking

4. Statistical Analysis
4.1 Basic Performance Plots
4.2 Probability Distributions
4.3 Probability Density Function
4.4 Cumulative Distribution Function
4.5 The Normal Distribution
4.6 Visual Tests for Normality
4.7 Moments of a Distribution
4.8 Geometric Brownian Motion
4.9 Covariance and Correlation
4.10 Regression Analysis
4.11 Portfolio Theory

5. Risk-Adjusted Return Metrics
5.1 The Intuition behind Risk-Adjusted Returns
5.2 Common Risk-Adjusted Performance Ratios
5.3 Common Performance Measures in the Presence of a Market Benchmark
5.4 The Omega Ratio

6. Asset Pricing Models
6.1 The Risk-Adjusted Two-Moment Capital Asset Pricing Model
6.2 Multi-factor Models
6.3 The Choice of Factors
6.4 Dynamic Style Based Return Analysis
6.5 The Markowitz Risk-Adjusted Evaluation Method

7. Hedge Fund Market Risk Management
7.1 Value-at-Risk
7.2 Traditional Measures
7.3 Modified VaR
7.4 Expected Shortfall
7.5 Extreme Value Theory

References
Important Legal Information
Index

Langue : Anglais

Lieu d'édition : TORONTO

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque