The second book in Darbyshire and Hampton's Hedge Fund Modelling and Analysis series, Hedge Fund Modelling and Analysis Using MATLAB® takes advantage of the huge library of built-in functions and suite of financial and analytic packages available to MATLAB®. This allows for a more detailed analysis of some of the more computationally intensive and advanced topics, such as hedge fund classification, performance measurement and mean-variance optimisation. Darbyshire and Hampton's first book in the series, Hedge Fund Modelling and Analysis Using Excel & and VBA, is seen as a valuable supplementary text to this book.
Starting with an overview of the hedge fund industry the book then looks at a variety of commercially available hedge fund data sources. After covering key statistical techniques and methods, the book discusses mean-variance optimisation, hedge fund classification and performance with an emphasis on risk-adjusted return metrics. Finally, common hedge fund market risk management techniques, such as traditional Value-at-Risk methods, modified extensions and expected shortfall are covered.
The book's dedicated website,
www.darbyshirehampton.com provides free downloads of all the data and MATLAB® source code, as well as other useful resources.
Hedge Fund Modelling and Analysis Using MATLAB® serves as a definitive introductory guide to hedge fund modelling and analysis and will provide investors, industry practitioners and students alike with a useful range of tools and techniques for analysing and estimating alpha and beta sources of return, performing manager ranking and market risk management.
Table of contents
- CHAPTER 1 The Hedge Fund Industry
- CHAPTER 2 Hedge Fund Data Sources
- CHAPTER 3 Statistical Analysis
- CHAPTER 4 Mean-Variance Optimisation
- CHAPTER 5 Performance Measurement
- CHAPTER 6 Hedge Fund Classification
- CHAPTER 7 Market Risk Management
- End User License Agreement
- Title: Hedge Fund Modelling and Analysis using MATLAB
- Release date: June 2014
- Publisher(s): Wiley
- ISBN: 9781119967378
You might also like
Advances in Financial Machine Learning
Machine learning (ML) is changing virtually every aspect of our lives. Today ML algorithms accomplish tasks …
Foundations of Computational Finance with MATLAB
Graduate from Excel to MATLAB® to keep up with the evolution of finance data Foundations of …
Fixed Income Markets: Management, Trading and Hedging, 2nd Edition
A comprehensive, in-depth look at global debt capital markets in the post-crisis world Fully updated with …
Big Data and Machine Learning in Quantitative Investment
Get to know the ‘why’ and ‘how’ of machine learning and big data in quantitative investment …