Hedge Fund Modelling and Analysis using MATLAB
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Beschreibung
The second book in Darbyshire and Hampton's Hedge FundModelling and Analysis series, Hedge Fund Modelling and AnalysisUsing MATLAB® takes advantage of the huge library ofbuilt-in functions and suite of financial and analytic packagesavailable to MATLAB®. This allows for a more detailed analysisof some of the more computationally intensive and advanced topics,such as hedge fund classification, performance measurement andmean-variance optimisation. Darbyshire and Hampton's firstbook in the series, Hedge Fund Modelling and Analysis UsingExcel & and VBA, is seen as a valuable supplementary textto this book.
Starting with an overview of the hedge fund industry the bookthen looks at a variety of commercially available hedge fund datasources. After covering key statistical techniques and methods, thebook discusses mean-variance optimisation, hedge fundclassification and performance with an emphasis on risk-adjustedreturn metrics. Finally, common hedge fund market risk managementtechniques, such as traditional Value-at-Risk methods, modifiedextensions and expected shortfall are covered.
The book's dedicated website, www.darbyshirehampton.comprovides 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 modellingand analysis and will provide investors, industrypractitioners and students alike with a useful range oftools and techniques for analysing and estimating alpha and betasources of return, performing manager ranking and market riskmanagement.
Autor*in
Paul Darbyshire
Themen in »Hedge Fund Modelling and Analysis using MATLAB«
Finance & Investments Financial Engineering Finanz- u. Anlagewesen Finanztechnik Hedgefonds