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.
- Series: The Wiley Finance Series
- Hardcover: 208 pages
- Publisher: Wiley; 1 edition (June 9, 2014)
- Language: English
- ISBN-10: 1119967376
- ISBN-13: 978-1119967378
- Product Dimensions: 9.1 x 6.1 x 0.9 inches
- Shipping Weight: 14.9 ounces
- http://www.amazon.com/Modelling-Analysis-MATLAB-Finance-Series/dp/1119967376/ref=sr_1_1?ie=UTF8&qid=1400085281&sr=8-1&keywords=Hedge+Fund+Modelling+and+Analysis+using+MATLAB