The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Risk Management for Hedge Funds: Introduction and Overview
Open accessAbstract
Although risk management has been a well-ploughed field in financial modeling for over two decades, traditional risk management tools such as mean-variance analysis, beta, and Value-at-Risk do not capture many of the risk exposures of hedge-fund investments. In this article, I review several aspects of risk management that are unique to hedge funds - survivorship bias, dynamic risk analytics, liquidity, and nonlinearities - and provide examples that illustrate their potential importance to hedge-fund managers and investors. I propose a research agenda for developing a new set of risk analytics specifically designed for hedge-fund investments, with the ultimate goal of creating risk transparency while, at the same time, protecting the proprietary nature of hedge-fund investment strategies.
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Citations
Cites
Survivorship Bias in Performance Studies
Brown, S. J., Goetzmann, W., Ibbotson, R. G., & Ross, S. A. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.4.553 · Cited by 1,121
Cited by
The Statistics of Sharpe Ratios
Lo, A. W. (2002) · Financial Analysts Journal · doi:10.2469/faj.v58.n4.2453 · Cited by 843
Self-citation
Metadata
- Authors
- Lo, A. W.
- Venue
- Financial Analysts Journal
- Publisher
- Informa UK Limited
- Published
- 2001-11
- Volume
- 57
- Issue
- 6
- Pages
- 16-33
- ISSN
- 0015-198X (ISSN-L)
- 1938-3312
- OpenAlex
- W2741974588
- Cited by
- 378
- References
- 1
- FWCI
- 30.58
- Type
- journal article
- Language
- en
- Open access
- green
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
