Risk Management for Hedge Funds: Introduction and Overview

By Andrew W. Lo. 2001

376 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/c4985dfe9c6f978a62fbd96a5e24685cf60db722

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Citations in the corpus

Calibrated Incentive Contracts (2013, positive): “Lo (2001), Goetzmann et al. (2007) and Foster and Young (2010) all emphasize the fragility of many performance measures to gaming by the agent, as well as the difficulty of both rewarding and screening agents.”
The Statistics of Sharpe Ratios (2002, background): “Robust Sharpe ratio estimators contain significant additional information about the risk–reward trade-offs for active investment products, such as hedge funds; more detailed analysis of the risks and rewards of hedge fund investments is performed in Getmansky, Lo, and Makarov (2002) and Lo (2001).”
Portfoliooptimierung mit Hedgefonds unter Berücksichtigung höherer Momente der Verteilung (2007, neutral): “…S. 24, Kaiser (2004), S. 190f, Ineichen (2003), S. 140f, Lhabitant (2002), S. 148f oder Cerend (1998), S. 24f. 2 Vgl. Schmidhuber und Moix (2001), Lo (2001), Eling (2006a), Anson (2002), Weisman (2002), Davies, Kat und Lu (2004), Goetzmann, Ingersoll, Spiegel und Welch (2003), Agarwal und Naik…”
Can Hedge-Fund Returns Be Replicated?: The Linear Case (2006, neutral): “More generally, Bertsimas, Kogan, and Lo (2001) have shown that securities with very general payoff functions (like hedge funds, or complex derivatives) can be synthetically replicated to an arbitrary degree of accuracy by dynamic trading strategies—called “epsilon-arbitrage” strategies—involving mo”
Asset allocation and derivatives (2001, neutral): “Three other strands of the literature are relevant to our paper: Merton’s (1995) functional approach to understanding 5 See, for example, the short-put strategy described in Lo (2000).”
Do Hedge Funds Have Enough Capital? A Value-at-Risk Approach (2005, background): “Lo (2001) questions the usefulness of VaR as a risk measure for hedge funds due to their dynamic risk profiles.”