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Hedge Fund of Funds

As a definitive and complete quantitative guide to funds of funds, this book covers all the essential elements of the sophisticated portfolio composition: fund screening and risk assessment, stress and sensitivity testing, optimization, and market factor analysis.

Explaining why the traditional risk management and asset valuation frameworks are highly misleading for hedge funds, the author delves into the latest alternative models based on the Conditional and the Modified Value-at-Risk.

Besides that, a dedicated reader will enjoy the most sophisticated techniques of portfolio global optimization (genetic algorithms) addressing problems of multi extreme nonlinear risk/return functions.