Download or read book Hedge Fund Modelling and Analysis using MATLAB written by Paul Darbyshire and published by John Wiley & Sons. This book was released on 2014-06-03 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Hedge Fund Modelling and Analysis written by Paul Darbyshire and published by Wiley. This book was released on 2016-10-28 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: Use powerful C# algorithms and Object Oriented Programming (OOP) to aid in hedge fund decision making Hedge fund managers cannot afford to ignore their risk/return profiles, and taking advantage of new technologies is an excellent way to minimize risk and capitalize on various investment styles. As Hedge Fund Analysis and Modeling Using C# demonstrates, the C# programming language is perfectly suited to hedge fund analysis. This book serves as a complete course in hedge fund modeling and provides a primer on C# and Object Oritented Programming (OOP) that will allow you to manage risk easily and make the most of key statistics. Covering both basic and risk-adjusted performance measures, Hedge Fund Analysis and Modeling Using C# moves from simple to sophisticated analysis techniques, using worked examples to show you exactly how to manage return in an era of volatility and financial risk. You'll have access to: Complete guidance on using C# and Objected Oriented Programming (OOP) for analysis using non-normal returns data and other key statistics Bonus content on a companion website containing C# programs, algorithms, and data available for download Real world modeling exercises that demonstrate the identification of risk and return factors Complete guidance for optimizing hedge fund decisions using quantitative strategies This is the only book on the market that guides you through using C# to model hedge fund risks and returns. Along with its companion titles on Excel/VBA analysis and MATLAB analysis, Hedge Fund Analysis and Modeling Using C# contributes important guidance for hedge fund managers who want to take advantage of technological platforms for optimal fund performance.

Download or read book Hedge Fund Modelling and Analysis Using Excel and VBA written by Paul Darbyshire and published by John Wiley & Sons. This book was released on 2012-02-23 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: Co-authored by two respected authorities on hedge funds and asset management, this implementation-oriented guide shows you how to employ a range of the most commonly used analysis tools and techniques both in industry and academia, for understanding, identifying and managing risk as well as for quantifying return factors across several key investment strategies. The book is also suitable for use as a core textbook for specialised graduate level courses in hedge funds and alternative investments. The book provides hands-on coverage of the visual and theoretical methods for measuring and modelling hedge fund performance with an emphasis on risk-adjusted performance metrics and techniques. A range of sophisticated risk analysis models and risk management strategies are also described in detail. Throughout, coverage is supplemented with helpful skill building exercises and worked examples in Excel and VBA. The book's dedicated website, www.darbyshirehampton.com provides Excel spreadsheets and VBA source code which can be freely downloaded and also features links to other relevant and useful resources. A comprehensive course in hedge fund modelling and analysis, this book arms you with the knowledge and tools required to effectively manage your risks and to optimise the return profile of your investment style.

Download or read book Evaluating Hedge Fund and CTA Performance written by Greg N. Gregoriou and published by John Wiley & Sons. This book was released on 2005-05-06 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introducing Data Envelopment Analysis (DEA) -- a quantitative approach to assess the performance of hedge funds, funds of hedge funds, and commmodity trading advisors. Steep yourself in this approach with this important new book by Greg Gregoriou and Joe Zhu. "This book steps beyond the traditional trade-off between single variables for risk and return in the determination of investment portfolios. For the first time, a comprehensive procedure is presented to compose portfolios using multiple measures of risk and return simultaneously. This approach represents a watershed in portfolio construction techniques and is especially useful for hedge fund and CTA offerings." -- Richard E. Oberuc, CEO, Burlington Hall Asset Management, Inc. Chairman, Foundation for Managed Derivatives Research Order your copy today!

Download or read book Hedge Fund Modelling and Analysis written by Paul Darbyshire and published by John Wiley & Sons. This book was released on 2016-10-26 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: Use powerful C++ algorithms and Object Oriented Programming (OOP) to aid in hedge fund decision making Low interest rates, overcrowded markets and greater regulatory oversight are just some of the many reasons it is close to impossible for hedge funds to draw competitive returns. The solution for many hedge fund managers, quantitative investment analysts and risk managers is to adopt new technologies, platforms and programming languages to better manage their risks and maximise the benefits of their return profiles. Hedge Fund Modelling and Analysis is a full course in the latest analytic strategies for hedge fund investing, complete with a one-of-a-kind primer on both C++ and object oriented programming (OOP). Covering both basic and risk-adjusted performance measures, this practitioner's guide enables you to manage risk easily and make the most of key statistics with simple and advanced analysis techniques. This highly anticipated third book in the widely used Hedge Fund Modelling and Analysis series is the only guide available for applying the powerful C++ language to revolutionise hedge fund trading. Even if you've never worked with code before, the focused overview of C++ gives you everything you need to navigate the technical aspects of object oriented programming, which enables you to build sophisticated analysis programs from small units of reusable code. This book is your breakthrough introduction to winning with hedge funds in the new reality of trading. Jumpstart your new approach to beating the markets with: All the guidance and hands-on support you need to use quantitative strategies to optimise hedge fund decision-making. Illustrative modelling exercises and worked-out problems demonstrating what to expect when assessing risk and return factors in the real world. A companion website offering additional C++ programs, algorithms and data to download. Make reading Hedge Fund Modelling and Analysis your new routine and gain all the insight and relevant information you need to beat the markets.

Download or read book Foundations of Computational Finance with MATLAB written by Ed McCarthy and published by John Wiley & Sons. This book was released on 2018-06-13 with total page 375 pages. Available in PDF, EPUB and Kindle. Book excerpt: Graduate from Excel to MATLAB® to keep up with the evolution of finance data Foundations of Computational Finance with MATLAB® is an introductory text for both finance professionals looking to branch out from the spreadsheet, and for programmers who wish to learn more about finance. As financial data grows in volume and complexity, its very nature has changed to the extent that traditional financial calculators and spreadsheet programs are simply no longer enough. Today’s analysts need more powerful data solutions with more customization and visualization capabilities, and MATLAB provides all of this and more in an easy-to-learn skillset. This book walks you through the basics, and then shows you how to stretch your new skills to create customized solutions. Part I demonstrates MATLAB’s capabilities as they apply to traditional finance concepts, and PART II shows you how to create interactive and reusable code, link with external data sources, communicate graphically, and more. Master MATLAB’s basic operations including matrices, arrays, and flexible data structures Learn how to build your own customized solutions when the built-ins just won’t do Learn how to handle financial data and industry-specific variables including risk and uncertainty Adopt more accurate modeling practices for portfolios, options, time series, and more MATLAB is an integrated development environment that includes everything you need in one well-designed user interface. Available Toolboxes provide tested algorithms that save you hours of code, and the skills you learn using MATLAB make it easier to learn additional languages if you choose to do so. Financial firms are catching up to universities in MATLAB usage, so this is skill set that will follow you throughout your career. When you’re ready to step into the new age of finance, Foundations of Computational Finance with MATLAB provides the expert instruction you need to get started quickly.

Download or read book Market Risk Management for Hedge Funds written by Francois Duc and published by John Wiley & Sons. This book was released on 2010-04-01 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a cutting edge introduction to market risk management for Hedge Funds, Hedge Funds of Funds, and the numerous new indices and clones launching coming to market on a near daily basis. It will present the fundamentals of quantitative risk measures by analysing the range of Value-at-Risk (VaR) models used today, addressing the robustness of each model, and looking at new risk measures available to more effectively manage risk in a hedge fund portfolio. The book begins by analysing the current state of the hedge fund industry - at the ongoing institutionalisation of the market, and at its latest developments. It then moves on to examine the range of risks, risk controls, and risk management strategies currently employed by practitioners, and focuses on particular risks embedded in the more classic investment strategies such as Long/Short, Convertible Arbitrage, Fixed Income Arbitrage, Short selling and risk arbitrage. Addressed along side these are other risks common to hedge funds, including liquidity risk, leverage risk and counterparty risk. The book then moves on to examine more closely two models which provide the underpinning for market risk management in investment today - Style Value-at-Risk and Implicit Value-at-Risk. As well as full quantitative analysis and backtesting of each methodology, the authors go on to propose a new style model for style and implicit Var, complete with analysis, real life examples and backtesting. The authors then go on to discuss annualisation issues and risk return before moving on to propose a new model based on the authors own Best Choice Implicit VaR approach, incorporating quantitative analysis, market results and backtesting and also its potential for new hedge fund clone products. This book is the only guide to VaR for Hedge Funds and will prove to be an invaluable resource as we embark into an era of increasing volatility and uncertainty.

Download or read book Financial Econometrics Modeling Derivatives Pricing Hedge Funds and Term Structure Models written by G. Gregoriou and published by Springer. This book was released on 2015-12-26 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, it considers new models for hedge funds and derivatives of derivatives, and adds to the literature of testing for the efficiency of markets both theoretically and empirically.

Download or read book All Style Hedge Fund Analysis with Constant and Time Varying Factor Loading Models written by Christian Schmidiger and published by . This book was released on 2017 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: Driven by vast historical growth and the recent crises, the hedge fund industry has undergone several changes. This thesis presents studies on the analysis of hedge fund returns within changing market states by applying different constant, asymmetric and time-varying factor loading models. Considered models include the CAPM, Fama-French 3-factor model, Carhart 4-factor model, Fama-French 5-Factor model, Agarwal-Naik 8-factor model and the Fung-Hsieh 7- and 8-factor models. In addition, and unlike previous research, 94 hedge fund strategy styles have been analysed individually to test whether the model performances differ among approaches.The first full-sample analysis exhibits generally low explanatory power whereby the more sophisticated models perform superiorly. Equity strategies, especially long-only funds, exhibit high adjusted R-Squared among all models, while fixed income, fundamental and technical hedge funds result in low significance. The CUSUM control chart based crisis/non-crisis dummy cannot substantially improve the explanatory power of the models. Hedge fund alpha and factor significance varies considerably among strategies and the power of the models remains similarly poor. Asymmetric up/down models exhibit slightly improved explanatory power while the significance of alpha diminishes. Replacing the conditional up/down variable by the crisis/non-crisis setting resulted in inferior results. Empirical analysis with asymmetric higher-moment models approves the asymmetries in hedge fund returns partially. Moreover, a time-varying approach substantially improves the explanatory power of all models while hedge fund alpha further diminishes. All dynamic models exhibit significant exposures on macro state variables for a high proportion of funds. To summarise, it has been shown how simple models can be fitted to increase the explanatory power. As a result, the adjusted R-Squared were improved by 73%. On a strategy level, equity funds are explained the best while fixed income, fundamental and technical hedge funds are the most difficult to analyse.

Download or read book The Econometric Analysis of Hedge Fund Returns written by François-Éric Racicot and published by Netbiblo S.L.. This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, we present several new empirical models and new estimation methods for financial models of returns. Our new empirical models are based on a generalized version of the Hausman test using higher moments and cumulants. Our methods rely on higher moments and cumulants as instruments to improve the well-known GMM technique, which we call the GMM-C or the Haus-C estimators. Then, we generalize these new estimators to panel data resorting to our new empirical models of hedge fund returns. Finally, we feature an innovative application of the Kalman filter for our new empirical models of hedge fund returns, in order to obtain a dynamic version of the alpha and beta parameters.

Download or read book Hedge Funds written by Andrew W. Lo and published by Princeton University Press. This book was released on 2010-07-01 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: The hedge fund industry has grown dramatically over the last two decades, with more than eight thousand funds now controlling close to two trillion dollars. Originally intended for the wealthy, these private investments have now attracted a much broader following that includes pension funds and retail investors. Because hedge funds are largely unregulated and shrouded in secrecy, they have developed a mystique and allure that can beguile even the most experienced investor. In Hedge Funds, Andrew Lo--one of the world's most respected financial economists--addresses the pressing need for a systematic framework for managing hedge fund investments. Arguing that hedge funds have very different risk and return characteristics than traditional investments, Lo constructs new tools for analyzing their dynamics, including measures of illiquidity exposure and performance smoothing, linear and nonlinear risk models that capture alternative betas, econometric models of hedge fund failure rates, and integrated investment processes for alternative investments. In a new chapter, he looks at how the strategies for and regulation of hedge funds have changed in the aftermath of the financial crisis.

Download or read book Hedge Fund Returns written by Christian Alexander Wegener and published by Logos Verlag Berlin GmbH. This book was released on 2011 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present work advances the research on hedge fund returns in three main areas. Firstly, their statistical properties are assessed in order to understand by what degree the returns of this alternative asset class are subject to non-normality, autocorrelation and heteroscedasticity. Secondly, state-of-the-art econometric approaches are used for the purpose of analyzing whether and to what extent monthly hedge fund returns are forecastable. Thirdly, an effort is made to identify and explain which economic risks affect the performance of the different hedge fund strategy styles in which way. The empirical results suggest that monthly hedge fund returns are forecastable by means of multivariate regression models which rely on economic predictors such as changes in interest rates or changes in business outlooks. Accounting for the fact that hedge fund returns are non-normally distributed, heteroscedastic and time-varying in their exposure to pervasive risk factors, the devised econometric models are found to deliver significant out-of-sample predictive power. The thesis at hand also documents that the interdependencies between the monthly changes of envisaged risk factors and the subsequent hedge fund returns remain remarkably stable throughout time. In essence, the performance of hedge funds appears to be sensitive to common business cycle movements. Altogether, the results are relevant to researchers in search of a description and application of contemporary return prediction methods as well as to investors in need of a better understanding of the drivers of hedge fund returns.

Download or read book Hedge Fund Alpha written by John M. Longo and published by World Scientific. This book was released on 2009 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge funds are perhaps the hottest topic in finance today, but little material of substance to date has been written on the topic. Most books focus on how to set up a hedge fund and the basic strategies, while few to none focus on what matters most: generating and understanding investment performance. This book takes an exclusive look at the latter, including an analysis of the areas that are most likely to generate strong investment returns OCo namely, the emerging markets of Brazil, Russia, India and China. The book will be invaluable to not only financial professionals, but anyone interested in learning about hedge funds and their future.

Download or read book Computational Finance written by Francesco Cesarone and published by Routledge. This book was released on 2020-06-11 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational finance is increasingly important in the financial industry, as a necessary instrument for applying theoretical models to real-world challenges. Indeed, many models used in practice involve complex mathematical problems, for which an exact or a closed-form solution is not available. Consequently, we need to rely on computational techniques and specific numerical algorithms. This book combines theoretical concepts with practical implementation. Furthermore, the numerical solution of models is exploited, both to enhance the understanding of some mathematical and statistical notions, and to acquire sound programming skills in MATLAB®, which is useful for several other programming languages also. The material assumes the reader has a relatively limited knowledge of mathematics, probability, and statistics. Hence, the book contains a short description of the fundamental tools needed to address the two main fields of quantitative finance: portfolio selection and derivatives pricing. Both fields are developed here, with a particular emphasis on portfolio selection, where the author includes an overview of recent approaches. The book gradually takes the reader from a basic to medium level of expertise by using examples and exercises to simplify the understanding of complex models in finance, giving them the ability to place financial models in a computational setting. The book is ideal for courses focusing on quantitative finance, asset management, mathematical methods for economics and finance, investment banking, and corporate finance.

Download or read book MATLAB Forecasting with Financial Models and Risk Analysis written by Perry F. and published by Createspace Independent Publishing Platform. This book was released on 2016-11-17 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: MATLAB Financial Toolbox provides functions for mathematical modeling and statistical analysis of financial data. You can optimize portfolios of financial instruments, optionally taking into account turnover and transaction costs. The toolbox enables you to estimate risk, analyze interest rate levels, price equity and interest rate derivatives, and measure investment performance. Time series analysis capabilities let you perform transformations or regressions with missing data and convert between different trading calendars and day-count conventions.

Download or read book Modelling and Analysis for Hedge Funds Accounting for Transaction Costs and Lockup Periods written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling Derivatives Applications in Matlab C and Excel written by Justin London and published by Financial Times/Prentice Hall. This book was released on 2007 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hundreds of financial institutions now market complex derivatives; thousands of financial and technical professionals need to model them accurately and effectively. This volume brings together proven, tested real-time models for each of todays leading modeling platforms to help professionals save months of development time, while improving the accuracy and reliability of the models they create.