ISBN 13 : 978-0-7506-7984-8

Sommaire : Contents

Contributeurs : Carol Alexander, Anca Dimitriu, Daniel Capocci, Georges Hübner, Harry M. Kat, Helder P. Palaro, Jean-François Bacmann, Pierre Jeanneret, Stefan Scholz, Nicolas Papageorgiou, Alain Elkaim, Keith H. Black, Kathryn Wilkens, Fabrice Rouah, François-Serge Lhabitant, Nicolas Laporte, Andreas Oehler, Oliver A. Schwindler, Niclas Hagelin, Bengt Pramborg, Fredrik Stenberg, Laurent Favre, Ryan J. Davies, Sa Lu, Elaine Hutson, Margaret Lynch, Max Stevenson, Maher Kooli, Zsolt Berenyi, Florent Pochon, Jérôme Teïletche, Eric Dubé, Clément Gignac, François Eric Racicot, Clemens H. Glaffig, David K.C. Lee, Kok Fai Phoon, Choon Yuan Wong, Jean Brunel, John E. Dunn, III, Paul Ali, Rian Akey, Hilary Till, Aleks Kins, Meredith A. Jones, Mary Fjelstad, Leola Ross, Stephan Joehri, Markus Leippold

Part 1. Performance
1. Rank alpha funds of hedge funds
2. Funds of hedge funds : bias and persistence in returns
3. Replication and evaluation of fund of funds returns
4. Performance, size and new opportunities in the funds of hedge funds industry
5. Optimal fund of fund asset allocation : hedge funds, CTAs and REITs
6. The changing performance and factor risks of fund of funds in the modern
period
7. Hedge fund indices : are they cost-effective alternatives to fund of funds ?
8. Simple hedge fund strategies as an alternative to funds of funds: evidence from large cap funds

Part 2. Diversification, selection, allocation and hedge fund indices
9. Funds of funds of hedge funds : welcome to diworsification
10. Style analysis of funds of hedge funds : measurement of asset allocation and style drift
11. Gains from adding funds of hedge funds to portfolios of traditional assets : An international perspective
12. Tactical asset allocation for hedge fund indices at one- to six-month horizons
13. Single strategy funds of hedge funds: how many funds ?

Part 3. Construction and statistical properties of funds of hedge funds
14. Distributional characteristics of fund of hedge fund returns
15. Funds of funds and diversification effect
16. Higher-moment performance characteristics of funds of funds
17. The market risk of funds of hedge funds : a conditional approach
18. Revisiting the Fama and French model : An application to funds of funds using
nonlinear methods
19. Investor's choice : an investor-driven, forward-looking optimization approach to fund of hedge fund construction

Part 4. Monitoring risk, overview of funds of funds, due diligence and special classes of funds of funds
20. Moments analysis in risk and performance monitoring of funds of hedge funds
21. An overview of funds of hedge funds
22. Institutional investment due diligence on funds of hedge funds
23. Synthetic CDO squares and the continuing evolution of funds of funds
24. Natural resources fund of funds : essays on active management, risk management, and due diligence
25. Identifying and monitoring risk in a fund of hedge funds portfolio
26. The wizardry of analytics for funds of funds
27. Quantitative hedge fund selection for fund of funds

Langue : Anglais

Collection : FINANCE SERIES

Sous collection : Quantitative finance series

Illustration(s) : Tableau(x) ; Schémas

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque