Hedge Fund Modelling and Analysis using MATLAB

<p>The second book in Darbyshire and Hampton’s Hedge Fund Modelling and Analysis series, <i>Hedge Fund Modelling and Analysis Using MATLAB®</i> 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, <i>Hedge Fund Modelling and Analysis Using Excel & and VBA</i>, is seen as a valuable supplementary text to this book.</p> <p>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.</p> <p>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.</p> <p><i>Hedge Fund Modelling and Analysis Using MATLAB®</i> 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.</p>