EDHEC-Risk Concept Industry Analysis Featured Analysis Latest EDHEC-Risk Surveys Research News Research Papers Books Features Interviews Indexes and Benchmarking EDHEC-Risk Efficient Equity Indices Equity Index Research EDHEC-Risk Alternative Indexes EDHEC-Risk IEIF Commercial Property Indices Hedge Fund Indices Literature EDHEC-Risk's Position on the Eligibility of Hedge Fund Indices for UCITS Assessing the Quality of Stock Market Indices EDHEC-Risk European ETF Survey Core-Satellite Investing Amundi ETF "Core-Satellite and ETF Investment" Research Chair Style and Performance Analysis Hedge Fund Performance EuroPerformance/EDHEC-Risk Institute Style Ratings Alpha League Table IPE/EDHEC-Risk Institute Institutional Asset Management Awards (IAMA) Rating the Ratings Performance Measurement for Traditional Investment Asset Allocation and Alternative Diversification EDHEC-Risk European Alternative Diversification Practices Survey Hedge Fund Style Allocation EDHEC-Risk Funds of Hedge Funds Reporting Survey The Amaranth Case The Hedge Fund Debate Core-Satellite Investing Newedge "Advanced Modelling for Alternative Investments" Research Chair Asset Allocation and Derivative Instruments Structured Forms of Investment Strategies Use of Derivatives in Asset Management FBF "Structured Products and Derivatives" Research Chair ALM and Asset Management Solvency II Impact of IFRS & Solvency II on ALM & AM in Insurance Companies Managing Pension Assets Benefits of Hedge Funds in ALM ALM Decisions in Private Banking AXA Investment Managers "Regulation and Institutional Investment" Research Chair BNP Paribas Investment Partners "ALM and Institutional Investment Management" Research Chair ORTEC Finance "Private Asset-Liability Management" Research Chair Deutsche Bank "Asset-Liability Management Techniques for Sovereign Wealth Fund Management" Research Chair UFG "Dynamic Allocation Models and New Forms of Target-Date Funds for Private and Institutional Clients" Research Chair Rothschild & Cie "The Case for Inflation-Linked Bonds: Issuers' and Investors' Perspectives" Research Chair Operational Risks and Performance MiFID TCA in Europe: Current & Best Practices Mitigating Hedge Funds Operational Risks CACEIS "Risk and Regulation in the European Fund Management Industry" Research Chair EDHEC-Risk Publications Reports, Studies, Surveys and Position Papers Academic Publications All EDHEC-Risk Publications Investment Management Review Editorial Policy Subscriptions Events Events organised by EDHEC-Risk Institute CFA Institute/EDHEC-Risk Institute Alternative Asset Allocation Seminar, New York, 30 March-1 April 2010 CFA Institute/EDHEC-Risk Institute Advances in Asset Allocation Seminar, Singapore, 18-20 May 2010 Conférence de la Gestion Institutionnelle Française 2010, Paris, 8-9 juin 2010 CFA Institute/EDHEC-Risk Institute Advances in Asset Allocation Seminar, New York, 13-15 July 2010 EDHEC-Risk Institutional Days 2010, Monaco, 8-9 December, 2010 Events involving EDHEC-Risk Institute's participation EDHEC-Risk Institute Presentation Research Programmes Research Chairs International Advisory Board Partners Team EDHEC-Risk News Press Releases EDHEC-Risk in the Press Careers EDHEC Business School EDHEC-Risk Executive Education EDHEC-Risk Institute PhD in Finance EDHEC-Risk Institute Executive MSc in Risk and Investment Management Investment Management Seminars Contact Us Contact Us
Alternative Investments
Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation

Authors: Edited by Greg N. Gregoriou, Georges Hübner, Nicolas Papageorgiou and Fabrice Rouah
Editions: Wiley Finance
 Pages: 653 pages
 Date: September 2005
 		 
 
 
Summary
Over the last few years, hedge funds have become even more attractive to institutional and individual investors. Their performance in both bull and bear markets are second to none, and their risk/reward profiles make sense in today's dynamic financial environment.

Whether you're working with hedge funds or thinking about investing in them, you must have a firm understanding of this unique investment vehicle in order to achieve maximum success. In Hedge Funds, editors Greg N. Gregoriou, Georges Hübner, Nicolas Papageorgiou and Fabrice Rouah bring together over thirty of the top practitioners and academics in the hedge fund industry to provide you with the latest findings in this field.

Several members of the Edhec Risk and Asset Management Research Centre's team have contributed chapters to the book: Noël Amenc, Felix Goltz, Lionel Martellini, Laurent Favre and Daniel Capocci.

Divided into five comprehensive parts, this guide reveals some of the most important issues encountered by today's academics and practitioners as they work with hedge funds. Their individual analysis deals with a variety of topics, from new methods of hedge fund performance evaluation to portfolio allocation and risk/return matters. Although some of the information is technical in nature, including econometric and statistical models, an understanding and applicability of the results as well as theoretical developments are stressed.

Topics discussed include:
  • Integrating hedge funds into the traditional portfolio
  • Hedge fund allocation under higher moments and illiquidity
  • Applying securitization technology to hedge funds
  • Common factor strategies for hedge funds
  • Analysis of risk-adjusted performance of global assets
  • Fat tail risk in portfolios of hedge funds
  • Hedge funds and the stale pricing issue
Filled with in-depth insight and expert advice, Hedge Funds can help you - whether you're an institutional investor or high-net-worth individual - make the most of this flexible investment vehicle.

About the Editors:

Greg N. Gregoriou is Associate Professor of Finance and coordinator of faculty research in the School of Business and Economics at the State University of New York, Plattsburgh. He received his BA in economics from Concordia University and his MBA and PhD in finance from the University of Quebec in Montreal. He is an associate with the Peritus Group in Montreal and the hedge fund editor and an editorial board member for Derivatives Use, Trading and Regulation (London). Gregoriou has published over forty articles on hedge funds and CTAs, and is coauthor and coeditor of four books.

Georges Hübner is the Deloitte Professor of Financial Management at HEC, Business School of the University of Liège. He is also Associate Professor of Finance at the University of Maastricht and Affiliate Professor of Finance at EDHEC Business School. He is an accomplished author of two books on financial management, as well as several peer-reviewed research articles about hedge funds and derivatives. Hübner holds a PhD in management from INSEAD.

Nicolas Papageorgiou completed his PhD at the ISMA Centre, The University of Reading, UK, in 2002 and has since held the position of Assistant Professor in the Department of Finance at HEC Montreal. His doctoral research focused on the modeling of corporate credit risk, and the empirical evaluation of models for pricing corporate liabilities and credit derivatives. Papageorgiou is also interested in alternative fund management, specifically hedge funds and CTAs, and has written several papers and book chapters on performance measurements of these funds.

Fabrice Rouah is an Institut de Finance Mathématique de Montréal (IFM2) Scholar, and a PhD candidate in finance at McGill University. He is a former faculty lecturer and consulting statistician and he specializes in the statistical and stochastic modeling of hedge funds, managed futures, and CTAs.