书目详细信息
： Hedge fund modelling and analysis using MATLAB? /
书目信息 机读格式(MARC)
| ISBN： | 9781119967378 (hbk) |
|---|---|
| ISBN： | 1119967376 (hbk) |
| 编目源： | DLC DLC YDX BTCTA UKMGB YDXCP CDX OCLCO |
| 个人名称： | Darbyshire, Paul, |
| 题名： | Hedge fund modelling and analysis using MATLAB? / Paul Darbyshire, David Hampton. |
| 索书号： | F830.9/D213E |
| 载体形态： | xv, 188 pages : illustrations ; 24 cm. |
| 一般附注： | Machine generated contents note: Preface xi 1 The Hedge Fund Industry 1 1.1 What are Hedge Funds? 1 1.2 The Structure of a Hedge Fund 4 1.3 The Global Hedge Fund Industry 6 1.4 Specialist Investment Techniques 10 1.5 New Developments for Hedge Funds 14 2 Hedge Fund Data Sources 19 2.1 Hedge Fund Databases 19 2.2 Major Hedge Fund Indices 20 2.3 Database and Index Biases 39 2.4 Benchmarking 42 3 Statistical Analysis 45 3.1 Basic Performance Plots 45 3.2 Probability Distributions 49 3.3 Probability Density Function 52 3.4 Cumulative Distribution Function 53 3.5 The Normal Distribution 54 3.5.1 Standard Normal Distribution 55 3.6 Visual Tests for Normality 56 3.7 Moments of a Distribution 58 3.8 Covariance and Correlation 63 3.9 Linear Regression 67 4 Mean-Variance Optimisation 77 4.1 Portfolio Theory 77 4.2 Efficient Portfolios 87 5 Performance Measurement 97 5.1 The Intuition Behind Risk-Adjusted Returns 97 5.2 Absolute Risk-Adjusted Return Metrics 103 5.3 Market Model Risk-Adjusted Return Metrics 110 5.4 MAR and LPM Metrics 125 5.5 Multi-Factor Asset Pricing Extensions 131 6 Hedge Fund Classification 137 6.1 Financial Instrument Building Blocks and Style Groups 137 6.2 Hedge Fund Clusters and Classification 138 7 Market Risk Management 155 7.1 Value-at-Risk 155 7.2 Traditional VaR Methods 159 7.3 Modified VaR 165 7.4 Expected Shortfall 166 7.5 Extreme Value Theory 172 References 179 Index 000 |
| 书目附注： | Includes bibliographical references and index. |