Hedge fund modelling and analysis using MATLAB

• Main Authors: Darbyshire, Paul, Hampton, David
• Format: eBook
• Language: English
• Published: Newark WILEY 2014; Wiley; John Wiley & Sons, Incorporated; Wiley-Blackwell
• Edition: 1
• Series: Wiley finance series
• Subjects: BUSINESS & ECONOMICS; Business conditions; C plus plus; Computers; Economic conditions; Finance; Hedge funds; Investments; Mathematical models; MATLAB; Mutual funds; Performance evaluation; Programming languages; Scandals; Securities
• ISBN: 9781119967682; 1118905024; 9781119967378; 9781119967675; 9781118905029; 1119967686; 1119967376; 1119967678
• DOI: 10.1002/9781118905029

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 allthe 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 willprovide investors, industry practitioners and students alike witha usefulrange of tools and techniques for analysing and estimating alpha and beta sources of return, performing manager ranking and market risk management.