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1、CHAPTER24RISKMANAGEMENTFORALTERNATIVEINVESTMENTSTRATEGIES∗LeslieRahlAsolidframeworkandaneffectiveduediligenceprocessarevitalcomponentsofriskmanagementforbothtraditionalandalternativeinvestments.Becausemanyofthestandardmetricsusedtomanagetraditionalinvestmentsandmeasureriskdon
2、otworkaswellwithalternativeinvestments,managersmustmakemanyadjustmentsandbeparticularlycautiousinchoosingtheproperanalyticalriskframework.AlthoughIhaveastrongquantitativebackground,Iviewriskasareal-world,notamathemati-cal,concept.Therefore,Iwillfocusonriskandtheissuesassociat
3、edwithit,notequations.Idefineriskasthepossibilityofabadoutcome.Forexample,themostsignificantriskthatpen-sionfundmanagersfaceisprobablyreputationalrisk.Nomatterwhetherapensionplansponsor,endowment,orfoundationhasdonesomethingbrilliantornotsobrilliant,thatsponsorismostconcernedab
4、outnotseeingafront-pagestoryintheWallStreetJournalaboutthefund’sinvest-mentfailures.Iwilldiscusshowbesttoavoidriskthroughtheestablishmentofasolidriskmanagementframework.Itisimportant,however,torememberthatthegoalistomaximizerisk-adjustedreturns,nottoeliminaterisk!Iwillthenfoc
5、usontheprimarygoalsofmanagingriskandreturnandaddresstheduediligenceprocessandafewofthemostsignificantrisksposedbyalternativeassetstrategies.Problemswithvaluationandthelackoftransparencyhavebecomeespeciallychallengingandarerequiringinvestorstoincreasetheireffortstounderstandthe
6、riskpracticesofthefundsinwhichtheyinvest.∗ReprintedfromAIMRConferenceProceedings:ExploringtheDimensionsofFixed-IncomeManagement(March2004):52–62.ThispresentationcomesfromtheAIMRconference“RiskManagement2003:QualityControloftheInvestmentProcess”heldinChicagoon17–18June2003.353
7、CH024.indd3538/28/108:36:19PM354PartIII:ManagingRisk—AlternativeInvestmentsRISKMANAGEMENTFRAMEWORKEstablishingappropriatepoliciesandprocedures,engagingintherequisitenumbercrunching,andensuringseniormanagementoversightareallessentialinbuildingasolidriskmanagementframework,bute
8、venmoreimportantisfosteringarisk-consciouscultureamonginvestmentpro-
