Hedge Fund Investing: A Practical Approach to Understanding Investor Motivation, Manager Profits, and Fund Performance

References and Additional Reading

BlueCrest Capital Management company website. www.bluecrestcapital.com/overview.aspx.

Duarte, J., F. A. Longstaff, and F. Yu. “Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller?” Review of Financial Studies 20, no. 3 (2007): 769–811.

“Fixed Income Arbitrage above Average.” Total Alternatives. September 7, 2009.

Fung, W., and D. A. Hsieh. “A Primer on Hedge Funds.” Journal of Empirical Finance 6, no. 3 (1999): 309–331.

Fung, W., and D. A. Hsieh. “Risk in Fixed-Income Hedge Fund Styles.” The Journal of Fixed Income 12, no. 2 (2002): 6–27, doi: 10.3905/jfi.2002.31932.

Füss, R., D. G. Kaiser, and M. Stein. “Strategies of Hedge Funds and Robust Bayesian Portfolio Allocation in Fixed-Income Markets.” In Handbook of Credit Portfolio Management, edited by G. N. Gregoriou and C. Hoppe, 325–348. New York: McGraw Hill, 2008.

Jorion, P. “Risk Management Lessons from Long-Term Capital Management.” European Financial Management 6 (2000): 277–300.

Liu, J., and F. A. Longstaff. “Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities.” Review of Financial Studies 17, no. 3 (2004): 611–641.

Liu, J., and F. A. Longstaff. “Risk and Return in Fixed Income Arbitrage: Nickels in Front of a Steamroller?” 2005, UC Los Angeles: Finance. Retrieved from: http://escholarship.org/uc/item/6zx6m7fp.

Lo, A. W. “Risk Management for Hedge Funds: Introduction and Overview.” Financial Analysts Journal 57, no. ...