Risk Management for Hedge Funds: Introduction and Overview

Financial Analysts Journal

Volumn 57, Issue 6, 2001, Pages 16-33

  Lo, Andrew W ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0010694099     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v57.n6.2490     Document Type: Review

References (38)

1. Ackermann, C., R. McEnally, and D. Ravenscraft. 1999. "The Performance of Hedge Funds: Risk, Return, and Incentives." Journal of Finance, vol. 54, no. 3 (June):833-874.
2. Aït-Sahalia, Y., and A. Lo. 2000. "Nonparametric Risk Management and Implied Risk Aversion." Journal of Econometrics, vol. 94, nos. 1-2:9-51.
3. Bernstein, P. 1992. Capital Ideas. New York: Free Press.
4. _. 1996. Against the Gods. New York: John Wiley & Sons.
5. Bickel, P., and K. Doksum. 1977. Mathematical Statistics: Basic Ideas and Selected Topics. San Francisco, CA: Holden-Day.
6. Bookstaber, R. 1999. "A Framework for Understanding Market Crisis." In Risk Management: Principles and Practices. Charlottesville, VA: AIMR.
7. _. 2000. "Understanding and Monitoring the Liquidity Crisis Cycle." Financial Analysts Journal, vol. 56, no. 5:17-22.
8. Brown, S., W. Goetzmann, and R. Ibbotson. 1999. "Offshore Hedge Funds: Survival and Performance 1989-1993." Journal of Business, vol. 72, no. 1 (January):91-118.
9. Brown, S., W. Goetzmann, and J. Park. 2001. "Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry." Journal of Finance, vol. 56, no. 5 (October): 1869-86.
10. Brown, S., W. Goetzmann, R. Ibbotson, and S. Ross. 1992. "Survivorship Bias in Performance Studies." Review of Financial Studies, vol. 5, no. 4:553-580.
11. Campbell, J., A. Lo, and C. MacKinlay. 1996. The Econometrics of Financial Markets. Princeton, NJ: Princeton University Press.
12. Chernoff, J. 2000. "CalPERS Adds to Alternative Funds." Pensions and Investments (February 21):6.
13. Elton, E., M. Gruber, and C. Blake. 1996. "Survivorship Bias and Mutual Fund Performance." Review of Financial Studies, vol. 9, no. 4:1097-1120.
14. Farmer, D., and A. Lo. 1999. "Frontiers of Finance: Evolution and Efficient Markets." Proceedings of the National Academy of Sciences, vol. 96, no. 18 (August 31):9991-92.
15. Fung, W., and D. Hsieh. 1997. "Investment Style and Survivorship Bias in the Returns of CTAs: The Information Content of Track Records." Journal of Portfolio Management, vol. 24, no. 1 (Fall):30-41.
16. Getmansky, M., A. Lo, and I. Makarov. 2001. "Serial Correlation as a Proxy for the Liquidity Risk of Alternative Investments." Unpublished manuscript, MIT Laboratory for Financial Engineering.
17. Harrington, S., and G. Niehaus. 1999. Risk Management and Insurance. New York: Irwin McGraw-Hill.
18. Head, G., and S. Horn. 1997. Essentials of Risk Management, Volumes I and II. 3rd ed. Malvern, PA: Insurance Institute of America.
19. Jorion, P., and S. Khoury. 1996. Financial Risk Management: Domestic and International Dimensions. Cambridge, MA: Blackwell.
20. Kahneman, D., and A. Tversky. 1982. "The Psychology of Preferences." Scientific American, vol. 246, no. 1:160-173.
21. Kao, D.-L. 2000. "Estimating and Pricing Credit Risk: An Overview." Financial Analysts Journal, vol. 56, no. 4 (July/August):50-66.
22. Kendall, M., A. Stuart, and K. Ord. 1983. The Advanced Theory of Statistics, Volume 3. 4th ed. New York: MacMillan.
23. Ljung, G., and G. Box. 1978. "On a Measure of Lack of Fit in Time Series Models." Biometrika, vol. 65, no. 2:299-315.
24. Lo, A. 1994. "Data-Snooping Biases in Financial Analysis." In Blending Quantitative and Traditional Equity Analysis. Edited by H. Russell Fogler. Charlottesville, VA: AIMR.
25. _, ed. 1997. Market Efficiency: Stock Market Behaviour in Theory and Practice, Volumes I and II. Cheltenham, UK: Edward Elgar.
26. _. 1999. "The Three P's of Total Risk Management." Financial Analysts Journal, vol. 55, no. 1 (January/February):13-26.
27. _. Forthcoming 2002. "The Statistics of Sharpe Ratios." Financial Analysts Journal.
28. Lo, A., and C. MacKinlay. 1990. "Data-Snooping Biases in Tests of Financial Asset Pricing Models." Review of Financial Studies, vol. 3, no. 3:431-169.
29. _. 1999. A Non-Random Walk Down Wall Street. Princeton, NJ: Princeton University Press.
30. Morgan Guaranty Trust Company. 1995. Introduction to RiskMetrics. 4th ed. New York: Morgan Guaranty Trust Company.
31. Samuelson, P. 1965. "Proof That Properly Anticipated Prices Fluctuate Randomly." Industrial Management Review, vol. 6, no. 2 (Spring):41-19.
32. Saunders, A. 1999. Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms. New York: John Wiley & Sons.
33. Schneeweis, T., and R. Spurgin. 1996. "Survivor Bias in Commodity Trading Advisor Performance." Journal of Futures Markets, vol. 16, no. 7 (October):757-772.
34. Shimpi, P. 1999. Integrating Corporate Risk Management. Zurich, Switzerland: Swiss Reinsurance Company.
35. Smithson, C., C. Smith, and D. Wilford. 1995. Managing Financial Risk: A Guide to Derivative Products, Financial Engineering, and Value Maximization. Chicago, IL: Irwin.
36. Strogatz, S. 1994. "Norbert Wiener's Brain Waves." In Frontiers in Mathematical Biology: Lecture Notes in Biomathematics, Vol. 100. Edited by S. Levin. Berlin, Germany: Springer-Verlag.
37. Watts, D. 1999. Small Worlds: The Dynamics of Networks between Order and Randomness. Princeton, NJ: Princeton University Press.
38. Watts, D., and S. Strogatz. 1998. "Collective Dynamics of 'Small-World' Networks." Nature, vol. 393, no. 6 (June):440-442.