The second book in Darbyshire and Hampton s Hedge Fund Modelling and Analysis series, Hedge Fund Modelling and Analysis Using MATLAB 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, 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 MATLAB source code, as well as other useful resources. Hedge Fund Modelling and Analysis Using MATLAB 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.
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