Hedge fund modelling and analysis using MATLAB® /
"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 det...
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| Main Author: | |
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| Other Authors: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Hoboken :
Wiley,
2014.
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| Subjects: | |
| Online Access: |
Full text (MFA users only) |
| ISBN: | 9781119967682 1119967686 9781119967675 1119967678 9781118905029 1118905024 130657174X 9781306571746 1119967376 9781119967378 9781118879542 1118879546 |
| Local Note: | ProQuest Ebook Central |
Table of Contents:
- Series; Titlepage; Copyright; Dedication; Preface; MathWorks Contact Information; 1. MATLAB® Source Code; 2. MATLAB® User-Defined Functions; 3. Hypothetical Hedge Fund Data; 4. Book Website; CHAPTER 1 The Hedge Fund Industry; 1.1 What are Hedge Funds?; 1.2 The Structure of a Hedge Fund; 1.3 The Global Hedge Fund Industry; 1.4 Specialist Investment Techniques; 1.5 New Developments for Hedge Funds; Notes; CHAPTER 2 Hedge Fund Data Sources; 2.1 Hedge Fund Databases; 2.2 Major Hedge Fund Indices; 2.3 Database and Index Biases; 2.4 Benchmarking; Notes; CHAPTER 3 Statistical Analysis.
- 3.1 Basic Performance Plots3.2 Probability Distributions; 3.3 Probability Density Function; 3.4 Cumulative Distribution Function; 3.5 The Normal Distribution; 3.6 Visual Tests for Normality; 3.7 Moments of a Distribution; 3.8 Covariance and Correlation; 3.9 Linear Regression; Notes; CHAPTER 4 Mean-Variance Optimisation; 4.1 Portfolio Theory; 4.2 Efficient Portfolios; Notes; CHAPTER 5 Performance Measurement; 5.1 The Intuition Behind Risk-Adjusted Returns; 5.2 Absolute Risk-Adjusted Return Metrics; 5.3 Market Model Risk-Adjusted Return Metrics; 5.4 MAR and LPM Metrics.
- 5.5 Multi-Factor Asset Pricing ExtensionsNotes; CHAPTER 6 Hedge Fund Classification; 6.1 Financial Instrument Building Blocks and Style Groups; 6.2 Hedge Fund Clusters and Classification; Notes; CHAPTER 7 Market Risk Management; 7.1 Value-at-Risk; 7.2 Traditional VaR Methods; 7.3 Modified VaR; 7.4 Expected Shortfall; 7.5 Extreme Value Theory; Notes; References; Index; End User License Agreement.