{"product_id":"hedge-fund-modelling-and-analysis-using-matlab-the-wiley-finance-series-9781119967378","title":"Hedge Fund Modelling and Analysis using MATLAB","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eThe 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).\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003ePreface xi\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 The Hedge Fund Industry 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 What are Hedge Funds? 1\u003c\/p\u003e \u003cp\u003e1.2 The Structure of a Hedge Fund 4\u003c\/p\u003e \u003cp\u003e1.2.1 Fund Administrators 4\u003c\/p\u003e \u003cp\u003e1.2.2 Prime Brokers 5\u003c\/p\u003e \u003cp\u003e1.2.3 Custodian, Auditors and Legal 6\u003c\/p\u003e \u003cp\u003e1.3 The Global Hedge Fund Industry 6\u003c\/p\u003e \u003cp\u003e1.3.1 North America 8\u003c\/p\u003e \u003cp\u003e1.3.2 Europe 9\u003c\/p\u003e \u003cp\u003e1.3.3 Asia 10\u003c\/p\u003e \u003cp\u003e1.4 Specialist Investment Techniques 10\u003c\/p\u003e \u003cp\u003e1.4.1 Short Selling 10\u003c\/p\u003e \u003cp\u003e1.4.2 Leverage 12\u003c\/p\u003e \u003cp\u003e1.4.3 Liquidity 13\u003c\/p\u003e \u003cp\u003e1.5 New Developments for Hedge Funds 14\u003c\/p\u003e \u003cp\u003e1.5.1 UCITS III Hedge Funds 14\u003c\/p\u003e \u003cp\u003e1.5.2 The European Passport 17\u003c\/p\u003e \u003cp\u003e1.5.3 Restrictions on Short Selling 17\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Hedge Fund Data Sources 19\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Hedge Fund Databases 19\u003c\/p\u003e \u003cp\u003e2.2 Major Hedge Fund Indices 20\u003c\/p\u003e \u003cp\u003e2.2.1 Non-Investable and Investable Indices 20\u003c\/p\u003e \u003cp\u003e2.2.2 Dow Jones Credit Suisse Hedge Fund Indices 22\u003c\/p\u003e \u003cp\u003e2.2.3 Hedge Fund Research 28\u003c\/p\u003e \u003cp\u003e2.2.4 FTSE Hedge 32\u003c\/p\u003e \u003cp\u003e2.2.5 Greenwich Alternative Investments 33\u003c\/p\u003e \u003cp\u003e2.2.6 Morningstar Alternative Investment Center 35\u003c\/p\u003e \u003cp\u003e2.2.7 EDHEC Risk and Asset Management Research Centre 39\u003c\/p\u003e \u003cp\u003e2.3 Database and Index Biases 39\u003c\/p\u003e \u003cp\u003e2.3.1 Survivorship Bias 40\u003c\/p\u003e \u003cp\u003e2.3.2 Instant History Bias 41\u003c\/p\u003e \u003cp\u003e2.4 Benchmarking 42\u003c\/p\u003e \u003cp\u003e2.4.1 Tracking Error 43\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Statistical Analysis 45\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Basic Performance Plots 45\u003c\/p\u003e \u003cp\u003e3.1.1 Value Added Index 45\u003c\/p\u003e \u003cp\u003e3.1.2 Histograms 47\u003c\/p\u003e \u003cp\u003e3.2 Probability Distributions 49\u003c\/p\u003e \u003cp\u003e3.2.1 Populations and Samples 51\u003c\/p\u003e \u003cp\u003e3.3 Probability Density Function 52\u003c\/p\u003e \u003cp\u003e3.4 Cumulative Distribution Function 53\u003c\/p\u003e \u003cp\u003e3.5 The Normal Distribution 54\u003c\/p\u003e \u003cp\u003e3.5.1 Standard Normal Distribution 55\u003c\/p\u003e \u003cp\u003e3.6 Visual Tests for Normality 56\u003c\/p\u003e \u003cp\u003e3.6.1 Inspection 56\u003c\/p\u003e \u003cp\u003e3.6.2 Normal Probability Plot 56\u003c\/p\u003e \u003cp\u003e3.7 Moments of a Distribution 58\u003c\/p\u003e \u003cp\u003e3.7.1 Mean and Standard Deviation 58\u003c\/p\u003e \u003cp\u003e3.7.2 Skew 60\u003c\/p\u003e \u003cp\u003e3.7.3 Kurtosis 62\u003c\/p\u003e \u003cp\u003e3.8 Covariance and Correlation 63\u003c\/p\u003e \u003cp\u003e3.9 Linear Regression 67\u003c\/p\u003e \u003cp\u003e3.9.1 Coefficient of Determination 69\u003c\/p\u003e \u003cp\u003e3.9.2 Residual Plots 69\u003c\/p\u003e \u003cp\u003e3.9.3 Jarque-Bera Test 73\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Mean-Variance Optimisation 77\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Portfolio Theory 77\u003c\/p\u003e \u003cp\u003e4.1.1 Mean-Variance Analysis 77\u003c\/p\u003e \u003cp\u003e4.1.2 An Optimisation Problem 81\u003c\/p\u003e \u003cp\u003e4.1.3 Sharpe Ratio Maximisation 85\u003c\/p\u003e \u003cp\u003e4.2 Efficient Portfolios 87\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Performance Measurement 97\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 The Intuition Behind Risk-Adjusted Returns 97\u003c\/p\u003e \u003cp\u003e5.1.1 Risk-Adjusted Returns 99\u003c\/p\u003e \u003cp\u003e5.2 Absolute Risk-Adjusted Return Metrics 103\u003c\/p\u003e \u003cp\u003e5.2.1 The Sharpe Ratio 105\u003c\/p\u003e \u003cp\u003e5.2.2 The Modified Sharpe Ratio 106\u003c\/p\u003e \u003cp\u003e5.2.3 The Maximum Drawdown Ratio 107\u003c\/p\u003e \u003cp\u003e5.3 Market Model Risk-Adjusted Return Metrics 110\u003c\/p\u003e \u003cp\u003e5.3.1 The Information Ratio 111\u003c\/p\u003e \u003cp\u003e5.3.2 The Treynor Ratio 113\u003c\/p\u003e \u003cp\u003e5.3.3 Jensen’s Alpha 118\u003c\/p\u003e \u003cp\u003e5.3.4 GH1 Metric 119\u003c\/p\u003e \u003cp\u003e5.3.5 The M2 Metric 120\u003c\/p\u003e \u003cp\u003e5.3.6 The GH2 Metric 123\u003c\/p\u003e \u003cp\u003e5.4 MAR and LPM Metrics 125\u003c\/p\u003e \u003cp\u003e5.4.1 The Sortino Ratio 125\u003c\/p\u003e \u003cp\u003e5.4.2 The Omega Ratio 127\u003c\/p\u003e \u003cp\u003e5.4.3 The Upside Potential Ratio and Group Rankings 129\u003c\/p\u003e \u003cp\u003e5.5 Multi-Factor Asset Pricing Extensions 131\u003c\/p\u003e \u003cp\u003e5.5.1 The Choice of Factors 133\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Hedge Fund Classification 137\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Financial Instrument Building Blocks and Style Groups 137\u003c\/p\u003e \u003cp\u003e6.2 Hedge Fund Clusters and Classification 138\u003c\/p\u003e \u003cp\u003e6.2.1 Metric Definitions 140\u003c\/p\u003e \u003cp\u003e6.2.2 Creating Dendrograms 140\u003c\/p\u003e \u003cp\u003e6.2.3 Interpreting Dendrograms 141\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Market Risk Management 155\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Value-at-Risk 155\u003c\/p\u003e \u003cp\u003e7.2 Traditional VaR Methods 159\u003c\/p\u003e \u003cp\u003e7.2.1 Historical Simulation 159\u003c\/p\u003e \u003cp\u003e7.2.2 Parametric Method 161\u003c\/p\u003e \u003cp\u003e7.2.3 Monte-Carlo Simulation 162\u003c\/p\u003e \u003cp\u003e7.3 Modified VaR 165\u003c\/p\u003e \u003cp\u003e7.4 Expected Shortfall 166\u003c\/p\u003e \u003cp\u003e7.5 Extreme Value Theory 172\u003c\/p\u003e \u003cp\u003e7.5.1 Block Maxima 174\u003c\/p\u003e \u003cp\u003e7.5.2 Peaks Over Threshold 174\u003c\/p\u003e \u003cp\u003eReferences 179\u003c\/p\u003e \u003cp\u003eIndex 183\u003c\/p\u003e \u003cp\u003e \u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default 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