Hedge Fund Modelling and Analysis using MATLAB (The Wiley Finance Series) by Paul Darbyshire delves into advanced topics in hedge fund analysis through the powerful capabilities of MATLAB. The book builds upon Darbyshire and Hampton’s previous work, enhancing it with MATLAB’s extensive library to explore complex areas like hedge fund classification, performance measurement, and mean-variance optimisation in greater depth. It starts with an industry overview, followed by a detailed examination of available data sources for hedge funds. Moving on, it covers essential statistical techniques before delving into mean-variance optimisation and performance analysis, focusing particularly on risk-adjusted return metrics. The book concludes with discussions on market risk management techniques such as Value-at-Risk methods, their modifications, and expected shortfall calculations. Accompanying the text is a dedicated website where readers can access free data and MATLAB source code to enhance their learning experience.

ISBN-13: 978-1119967682 | Published: March 27, 2014