LEADER 06919nam 22007933u 450 001 9910810143303321 005 20240402111142.0 010 $a1-118-90502-4 010 $a1-119-96767-8 035 $a(CKB)2550000001256702 035 $a(EBL)1662199 035 $a(SSID)ssj0001180041 035 $a(PQKBManifestationID)11707584 035 $a(PQKBTitleCode)TC0001180041 035 $a(PQKBWorkID)11187376 035 $a(PQKB)10557822 035 $a(MiAaPQ)EBC1662199 035 $a(PPN)183692527 035 $a(EXLCZ)992550000001256702 100 $a20140407d2014 uy 0 101 0 $aeng 135 $aur|n||||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aHedge fund modelling and analysis using MATLABŪ /$fPaul Darbyshire, David Hampton 205 $a1st ed. 210 1$aChichester, West Sussex, United Kingdom :$cWiley,$d2014. 215 $a1 online resource (206 p.) 225 1 $aWiley finance series 300 $aDescription based upon print version of record. 311 $a1-119-96737-6 311 $a1-306-57174-X 320 $aIncludes bibliographical references (pages 179-181) and index. 327 $aHedge Fund Modelling and Analysis Using MATLABŪ; Contents; Preface; 1 The Hedge Fund Industry; 1.1 What are Hedge Funds?; 1.2 The Structure of a Hedge Fund; 1.2.1 Fund Administrators; 1.2.2 Prime Brokers; 1.2.3 Custodian, Auditors and Legal; 1.3 The Global Hedge Fund Industry; 1.3.1 North America; 1.3.2 Europe; 1.3.3 Asia; 1.4 Specialist Investment Techniques; 1.4.1 Short Selling; 1.4.2 Leverage; 1.4.3 Liquidity; 1.5 New Developments for Hedge Funds; 1.5.1 UCITS III Hedge Funds; 1.5.2 The European Passport; 1.5.3 Restrictions on Short Selling; 2 Hedge Fund Data Sources 327 $a2.1 Hedge Fund Databases2.2 Major Hedge Fund Indices; 2.2.1 Non-Investable and Investable Indices; 2.2.2 Dow Jones Credit Suisse Hedge Fund Indices (www.hedgeindex.com); 2.2.3 Hedge Fund Research (www.hedgefundresearch.com); 2.2.4 FTSE Hedge (www.ftse.com); 2.2.5 Greenwich Alternative Investments (www.greenwichai.com); 2.2.6 Morningstar Alternative Investment Center (http:www.morningstar.com/advisor/alternative-investments); 2.2.7 EDHEC Risk and Asset Management Research Centre (www.edhec-risk.com); 2.3 Database and Index Biases; 2.3.1 Survivorship Bias; 2.3.2 Instant History Bias 327 $a2.4 Benchmarking2.4.1 Tracking Error; 3 Statistical Analysis; 3.1 Basic Performance Plots; 3.1.1 Value Added Index; 3.1.2 Histograms; 3.2 Probability Distributions; 3.2.1 Populations and Samples; 3.3 Probability Density Function; 3.4 Cumulative Distribution Function; 3.5 The Normal Distribution; 3.5.1 Standard Normal Distribution; 3.6 Visual Tests for Normality; 3.6.1 Inspection; 3.6.2 Normal Probability Plot; 3.7 Moments of a Distribution; 3.7.1 Mean and Standard Deviation; 3.7.2 Skew; 3.7.3 Kurtosis; 3.8 Covariance and Correlation; 3.9 Linear Regression; 3.9.1 Coefficient of Determination 327 $a3.9.2 Residual Plots3.9.3 Jarque-Bera Test; 4 Mean-Variance Optimisation; 4.1 Portfolio Theory; 4.1.1 Mean-Variance Analysis; 4.1.2 An Optimisation Problem; 4.1.3 Sharpe Ratio Maximisation; 4.2 Efficient Portfolios; 5 Performance Measurement; 5.1 The Intuition Behind Risk-Adjusted Returns; 5.1.1 Risk-Adjusted Returns; 5.2 Absolute Risk-Adjusted Return Metrics; 5.2.1 The Sharpe Ratio; 5.2.2 The Modified Sharpe Ratio; 5.2.3 The Maximum Drawdown Ratio; 5.3 Market Model Risk-Adjusted Return Metrics; 5.3.1 The Information Ratio; 5.3.2 The Treynor Ratio; 5.3.3 Jensens Alpha; 5.3.4 GH1 Metric 327 $a5.3.5 The M2 Metric5.3.6 The GH2 Metric; 5.4 MAR and LPM Metrics; 5.4.1 The Sortino Ratio; 5.4.2 The Omega Ratio; 5.4.3 The Upside Potential Ratio and Group Rankings; 5.5 Multi-Factor Asset Pricing Extensions; 5.5.1 The Choice of Factors; 6 Hedge Fund Classification; 6.1 Financial Instrument Building Blocks and Style Groups; 6.2 Hedge Fund Clusters and Classification; 6.2.1 Metric Definitions; 6.2.2 Creating Dendrograms; 6.2.3 Interpreting Dendrograms; 7 Market Risk Management; 7.1 Value-at-Risk; 7.2 Traditional VaR Methods; 7.2.1 Historical Simulation; 7.2.2 Parametric Method 327 $a7.2.3 Monte-Carlo Simulation 330 $aThe second book in Darbyshire and Hampton's Hedge Fund Modelling and Analysis series, Hedge Fund Modelling and Analysis Using MATLABŪ takes advantage of the huge library of built-in functions and suite of financial and analytic packages available to MATLABŪ. This allows for a more detailed analysis of some of the more computationally intensive and advanced topics, such as hedge fund classification, performance measurement and mean-variance optimisation. Darbyshire and Hampton's first book in the series, Hedge Fund Modelling and Analysis Using Excel & and VBA, is seen as a valuable supplementary text to this book. Starting with an overview of the hedge fund industry the book then looks at a variety of commercially available hedge fund data sources. After covering key statistical techniques and methods, the book discusses mean-variance optimisation, hedge fund classification and performance with an emphasis on risk-adjusted return metrics. Finally, common hedge fund market risk management techniques, such as traditional Value-at-Risk methods, modified extensions and expected shortfall are covered. The book's dedicated website, www.darbyshirehampton.com provides free downloads of all the data and MATLABŪ source code, as well as other useful resources. Hedge Fund Modelling and Analysis Using MATLABŪ serves as a definitive introductory guide to hedge fund modelling and analysis and will provide investors, industry practitioners and students alike with a useful range of tools and techniques for analysing and estimating alpha and beta sources of return, performing manager ranking and market risk management. 410 0$aWiley finance series. 606 $aHedge funds$xMathematical models 606 $aBUSINESS & ECONOMICS / Finance 606 $aHedge funds -- Mathematical models 606 $aHedge funds 606 $aMATLAB 606 $aFinance$2HILCC 606 $aBusiness & Economics$2HILCC 606 $aInvestment & Speculation$2HILCC 615 0$aHedge funds$xMathematical models 615 4$aBUSINESS & ECONOMICS / Finance. 615 4$aHedge funds -- Mathematical models. 615 4$aHedge funds. 615 4$aMATLAB. 615 7$aFinance 615 7$aBusiness & Economics 615 7$aInvestment & Speculation 676 $a332.64 676 $a332.64/5240285554 700 $aDarbyshire$b Paul$0970548 702 $aHampton$b David$f1967- 801 0$bAU-PeEL 801 1$bAU-PeEL 801 2$bAU-PeEL 906 $aBOOK 912 $a9910810143303321 996 $aHedge fund modelling and analysis using MATLABŪ$94118330 997 $aUNINA