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1、CHAPTER23RISKMANAGEMENTFORHEDGEFUNDS:INTRODUCTIONANDOVERVIEW∗AndrewW.LoAlthoughriskmanagementhasbeenawell-plowedfieldinfinancialmodelingformorethantwodecades,traditionalriskmanagementtoolssuchasmean–varianceanalysis,beta,andValue-at-Riskdonotcapturemanyoftheriskexpos
2、uresofhedge-fundinvestments.Inthisarticle,Ireviewseveraluniqueaspectsofriskman-agementforhedgefunds—survivorshipbias,dynamicriskanalytics,liquidity,andnonlinearities—andprovideexamplesthatillustratetheirpotentialimportancetohedge-fundmanagersandinvestors.Iproposear
3、esearchagendafordevelopinganewsetofriskanalyticsspecificallydesignedforhedge-fundinvestments,withtheultimategoalofcreatingrisktransparencywithoutcompromisingtheproprietarynatureofhedge-fundinvestmentstrategies.Despiteongoingconcernsregardingthelackoftransparencyandp
4、otentialinstabilitiesofhedge-fundinvestmentcompanies,thehedge-fundindustrycontinuestogrowatarapidpace.Luredbytheprospectofdouble-andtriple-digitreturnsandanunprecedentedbullmarket,investorshavecommittednearly$500billioninassetstoalternativeinvestments.Evenmajorinst
5、itutionalinvestorssuchasthetrend-settingCaliforniaPublicEmployeesRetirementSystemarestartingtotakeaninterestinhedgefunds.1∗ReprintedfromtheFinancialAnalystsJournal(November/December2001):16–33.323CH023.indd3238/28/108:35:30PM324PartIII:ManagingRisk—AlternativeInves
6、tmentsHowever,manyinstitutionalinvestorsarenotyetconvincedthat“alternativeinvest-ments”isadistinctassetclass,i.e.,acollectionofinvestmentswithareasonablyhomogeneoussetofcharacteristicsthatarestableovertime.Unlikeequities,fixed-incomeinstruments,andrealestate—assetcl
7、asseseachdefinedbyacommonsetoflegal,institutional,andstatisticalproperties—“alternativeinvestments”isamongrelcategorythatincludesprivateequity,riskarbitrage,commodityfutures,convertiblebondarbitrage,emergingmarketequities,statisticalarbitrage,foreigncurrencyspeculat
8、ion,andmanyotherstrategies,securities,andstyles.Therefore,theneedforasetofriskmanagementprotocolsspecificallydesignedforhedge-fundinvestmentshasne
