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1 rating,
3.00
average rating, 1 review
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published
April 28th 2008
by Princeton University Press
binding
Hardcover, 364 pages
isbn
0691132941
(isbn13: 9780691132945)
description
The hedge fund industry has grown dramatically over the last two decades, with more than eight thousand funds now controlling close to two trillion do
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editions: all | this edition
editions: all | this edition
Interesting, but somewhat exploratory and limited in scope.
It's primarily a book about:
1) the Sharpe ratio sucks as a measure of portfolios with a lot of tail risk (like put-writing)
2) If you see a hedge fund with a high Sharpe ratio, and can only see summary statistics and return series, chances are high that it's just taking on tail risk
3) How to measure liquidity risk, including CAPM and Sharpe ratio-like models.
It's an interesting book on an in...more
It's primarily a book about:
1) the Sharpe ratio sucks as a measure of portfolios with a lot of tail risk (like put-writing)
2) If you see a hedge fund with a high Sharpe ratio, and can only see summary statistics and return series, chances are high that it's just taking on tail risk
3) How to measure liquidity risk, including CAPM and Sharpe ratio-like models.
It's an interesting book on an in...more
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