Ho John Lee’s Weblog

• What Happened to the Quants in August 2007? (PDF)
  Amir E. Khandani and Andrew W. Lo examine correlated losses in long/short funds in August 07. “We hypothesize that the losses were initiated by the rapid unwinding of one or more sizable quantitative equity market-neutral portfolios”
  (tags: hedgefund quantitative finance markets stock trading risk management economics research)
• Fat Tails, Tall Tails, Puppy Dog Tails (PDF)
  Presentation by Dan diBartolomeo on fat tails in observed portfolio returns and and overview of models attempting to account for skewed distributions of actual outcomes.
  (tags: quantitative finance statistics trading risk management)
• Credit Suisse Tremont Hedge Fund Index
  Hedge fund performance data, updated monthly.
  (tags: hedgefund investment performance benchmark finance)

This entry was posted on Monday, October 1st, 2007 at 12:17 am and is filed under Links. You can follow any responses to this entry through the RSS 2.0 feed. Both comments and pings are currently closed.