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Hedge fund modelling and analysis using MATLAB

Record Type:	Language materials, printed : monographic
Author:	DarbyshirePaul,
Secondary Intellectual Responsibility:	HamptonDavid, 1967-
Place of Publication:	Hoboken
Published:	Wiley;
Year of Publication:	2014
Description:	xv, 188 p.ill. : 23 cm.;
Series:	The wiley finance series
Subject:	Hedge funds - Mathematical models -
Summary:	"The second book in Darbyshire and Hampton's Hedge Fund Modelling and Analysis series, Hedge Fund Modelling and Analysis Using MATLAB(r) takes advantage of the huge library of built-in functions and suite of financial and analytic packages available to MATLAB(r) 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(r) source code, as well as other useful resources.Hedge Fund Modelling and Analysis Using MATLAB(r) 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"--Provided by publisher
ISBN:	9781119967378hbk.
ISBN:	1119967376hbk.
ISBN:	ebk
ISBN:	ebk
ISBN:	ebk

Hedge fund modelling and analysis using MATLAB
Darbyshire, Paul

Hedge fund modelling and analysis using MATLAB / Paul Darbyshire, David Hampton - Hoboken : Wiley, 2014. - xv, 188 p. ; ill. ; 23 cm.. - (The wiley finance series).
Includes bibliographical references (p. 179-181) and index.
ISBN 9781119967378ISBN 1119967376
Hedge funds -- Mathematical models

Hampton, David

Hedge fund modelling and analysis using MATLAB
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320 $a Includes bibliographical references (p. 179-181) and index
330 $a "The second book in Darbyshire and Hampton's Hedge Fund Modelling and Analysis series, Hedge Fund Modelling and Analysis Using MATLAB(r) takes advantage of the huge library of built-in functions and suite of financial and analytic packages available to MATLAB(r) 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(r) source code, as well as other useful resources.Hedge Fund Modelling and Analysis Using MATLAB(r) 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"--Provided by publisher
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