Table of Contents

Preface. Acknowledgments. PART ONE: Portfolio Allocation in Hedge Funds. Chapter 1: Integrating Hedge Funds into the Traditional Portfolio (Harry M. Kat). Chapter 2: Hedge Funds from the Institutional Investor's Perspective (Noel Amenc, Felix Goltz, and Lionel Martellini). Chapter 3: Funds of Hedge Funds versus Portfolios of Hedge Funds: A Comparative Analysis (Daniel Capocci and Valerie Nevolo). Chapter 4: Analyzing Style Drift in Hedge Funds (Nolke Posthuma and Pieter Jelle Van der Sluis). Chapter 5: Hedge Fund Allocation under Higher Moments and Illiquidity (Niclas Hagelin, Bengt Pramborg, and Fredrik Stenberg). Chapter 6: Revisiting the Role of Hedge Funds in Diversified Portfolios (Jean Brunel). Chapter 7: Hedge Fund Selection: A Synthetic Desirability Index (Jean-Pierre Langevin). PART TWO: Hedge Fund Management. Chapter 8: Hedge Fund Index Tracking (Carol Alexander and Anca Dimitriu). Chapter 9: Designing a Long-Term Wealth Maximization Strategy for Hedge Fund Managers (Keith H. Black). Chapter 10: Profiles of Hedge Fund Indexes against Conventional Asset Style Indexes (Barry Feldman). Chapter 11: Applying Securitization Technology to Hedge Funds (Paul U. Ali). Chapter 12: Maximum Drawdown Distributions with Volatility Persistence (Kathyrn Wilkens, Carlos J. Morales, and Luis Roman). PART THREE: Risk and Performance Measurement. Chapter 13: A Literature Review of Hedge Fund Performance Studies (Fabrice Rouah). Chapter 14: Investing in Hedge Funds through Multimanager Vehicles (Meredith A. Jones). Chapter 15: Performance in the Hedge Fund Industry: An Analysis of Short- and Long-term Persistence (Sebastien Gyger, P.-A. Bares, and R. Gibson). Chapter 16: Further Evidence on Hedge Fund Performance: A Calendar-Time Approach (Maher Kooli). Chapter 17: Investing in Hedge Funds: Risks, Returns, and Performance Measurement (Francis C. C. Koh, Winston T. H. Koh, David K. C. Lee, Kok Fai Phoon). Chapter 18: Efficiency of Funds of Hedge Funds: A Data Envelopment Analysis Approach (Greg N. Gregoriou and Kevin McCarthy). Chapter 19: The Performance of Hedge Funds in the Presence of Errors in Variables (Alain Coen, Aurelie Desfleurs, Georges Hubner, and Francois-Eric Racicot). Chapter 20: Alternative RAPMs for Alternative Investments (Milind Sharma). PART FOUR: Statistical Properties of Hedge Funds. Chapter 21: Volatility Regimes and Hedge Fund Management (Mark Anson, Ho Ho, and Kurt W. Silberstein). Chapter 22: Does Extreme Risk Affect the Fund of Hedge Funds Composition? (Laurent Favre). Chapter 23: A Hedge Fund Investor's Guide to Understanding Managed Futures (Hilary F. Till and Joseph Eagleeye). Chapter 24: Fat-Tail Risk in Portfolios of Hedge Funds and Traditional Investments (Jean-Francois Bacmann and Gregor Gawron). Chapter 25: Skewing Your Diversification (Mark S. Shore). Chapter 26: Investable Equity Long/Short Hedge Funds: Properties and Behavior (Edward Leung and Jacqueline Meziani). Chapter 27: Hedge Funds and Portfolio Optimization: A Game of Its Own? (Zsolt Berenyi). PART FIVE: Special Classes of Hedge Funds. Chapter 28: Structured Products on Fund of Fund Underlyings (Jens Johansen). Chapter 29: Hedge Funds and the Stale Pricing Issue (Mohamed Gaber, Greg N. Gregoriou, and William Kelting). References. Index.

About the Author

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 HUBNER is the Deloitte Professor of Financial Management at HEC, Business School of the University of Liege. 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. Hubner 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 Mathematique de Montreal (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.