Hedge Fund Modeling and Analysis Using Excel and VBA:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Hoboken
John Wiley & Sons
2012
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | TUM01 Volltext |
| Beschreibung: | Hedge Fund Modelling and Analysis Using Excel and VBA; Contents; Preface; 1 The Hedge Fund Industry; 1.1 What Are Hedge Funds?; 1.2 The Structure of a Hedge Fund; 1.2.1 Fund Administrators; 1.2.2 Prime Brokers; 1.2.3 Custodian, Auditors and Legal; 1.3 The Global Hedge Fund Industry; 1.3.1 North America; 1.3.2 Europe; 1.3.3 Asia; 1.4 Specialist Investment Techniques; 1.4.1 Short Selling; 1.4.2 Leverage; 1.4.3 Liquidity; 1.5 New Developments for Hedge Funds; 1.5.1 UCITS III Hedge Funds; 1.5.2 The European Passport; 1.5.3 Restrictions on Short Selling; 2 Major Hedge Fund Strategies 2.1 Single- and Multi-Strategy Hedge Funds2.2 Fund of Hedge Funds; 2.3 Hedge Fund Strategies; 2.3.1 Tactical Strategies; 2.3.1.1 Global Macro; 2.3.1.2 Managed Futures; 2.3.1.3 Long/Short Equity; 2.3.1.4 Pairs Trading; 2.3.2 Event-Driven; 2.3.2.1 Distressed Securities; 2.3.2.2 Merger Arbitrage; 2.3.3 Relative Value; 2.3.3.1 Equity Market Neutral; 2.3.3.2 Convertible Arbitrage; 2.3.3.3 Fixed Income Arbitrage; 2.3.3.3.1 Capital Structure Arbitrage; 2.3.3.3.2 Swap-Spread Arbitrage; 2.3.3.3.3 Yield Curve Arbitrage; 3 Hedge Fund Data Sources; 3.1 Hedge Fund Databases; 3.2 Major Hedge Fund Indices 3.2.1 Non-investable and Investable Indices3.2.2 Dow Jones Credit Suisse Hedge Fund Indexes; 3.2.2.1 Liquid Alternative Betas; 3.2.3 Hedge Fund Research; 3.2.4 HedgeFund.net; 3.2.5 FTSE Hedge; 3.2.5.1 FTSE Hedge Momentum Index; 3.2.6 Greenwich Alternative Investments; 3.2.6.1 GAI Investable Indices; 3.2.7 Morningstar Alternative Investment Center; 3.2.7.1 MSCI Hedge Fund Classification Standard; 3.2.7.2 MSCI Investable Indices; 3.2.8 EDHEC Risk and Asset Management Research Centre (www.edhec-risk.com); 3.3 Database and Index Biases; 3.3.1 Survivorship Bias; 3.3.2 Instant History Bias 3.4 Benchmarking3.4.1 Tracking Error; Appendix A: Weighting Schemes; 4 Statistical Analysis; 4.1 Basic Performance Plots; 4.1.1 Value Added Monthly Index; 4.1.2 Histograms; 4.2 Probability Distributions; 4.2.1 Populations and Samples; 4.3 Probability Density Function; 4.4 Cumulative Distribution Function; 4.5 The Normal Distribution; 4.5.1 Standard Normal Distribution; 4.6 Visual Tests for Normality; 4.6.1 Inspection; 4.6.2 Normal Q-Q Plot; 4.7 Moments of a Distribution; 4.7.1 Mean and Standard Deviation; 4.7.2 Skewness; 4.7.3 Excess Kurtosis; 4.7.4 Data Analysis Tool: Descriptive Statistics 4.8 Geometric Brownian Motion4.8.1 Uniform Random Numbers; 4.9 Covariance and Correlation; 4.10 Regression Analysis; 4.10.1 Ordinary Least Squares; 4.10.1.1 Coefficient of Determination; 4.10.1.2 Residual Plots; 4.10.1.3 Jarque-Bera Normality Test; 4.10.1.4 Data Analysis Tool: Regression; 4.11 Portfolio Theory; 4.11.1 Mean-Variance Analysis; 4.11.2 Solver: Portfolio Optimisation; 4.11.3 Efficient Portfolios; 5 Risk-Adjusted Return Metrics; 5.1 The Intuition behind Risk-Adjusted Returns; 5.1.1 Risk-Adjusted Returns; 5.2 Common Risk-Adjusted Performance Ratios; 5.2.1 The Sharpe Ratio |
| Beschreibung: | 1 Online-Ressource (279 pages) |
| ISBN: | 1119945631 111994564X 9781119945635 9781119945642 |
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| 500 | |a Hedge Fund Modelling and Analysis Using Excel and VBA; Contents; Preface; 1 The Hedge Fund Industry; 1.1 What Are Hedge Funds?; 1.2 The Structure of a Hedge Fund; 1.2.1 Fund Administrators; 1.2.2 Prime Brokers; 1.2.3 Custodian, Auditors and Legal; 1.3 The Global Hedge Fund Industry; 1.3.1 North America; 1.3.2 Europe; 1.3.3 Asia; 1.4 Specialist Investment Techniques; 1.4.1 Short Selling; 1.4.2 Leverage; 1.4.3 Liquidity; 1.5 New Developments for Hedge Funds; 1.5.1 UCITS III Hedge Funds; 1.5.2 The European Passport; 1.5.3 Restrictions on Short Selling; 2 Major Hedge Fund Strategies | ||
| 500 | |a 2.1 Single- and Multi-Strategy Hedge Funds2.2 Fund of Hedge Funds; 2.3 Hedge Fund Strategies; 2.3.1 Tactical Strategies; 2.3.1.1 Global Macro; 2.3.1.2 Managed Futures; 2.3.1.3 Long/Short Equity; 2.3.1.4 Pairs Trading; 2.3.2 Event-Driven; 2.3.2.1 Distressed Securities; 2.3.2.2 Merger Arbitrage; 2.3.3 Relative Value; 2.3.3.1 Equity Market Neutral; 2.3.3.2 Convertible Arbitrage; 2.3.3.3 Fixed Income Arbitrage; 2.3.3.3.1 Capital Structure Arbitrage; 2.3.3.3.2 Swap-Spread Arbitrage; 2.3.3.3.3 Yield Curve Arbitrage; 3 Hedge Fund Data Sources; 3.1 Hedge Fund Databases; 3.2 Major Hedge Fund Indices | ||
| 500 | |a 3.2.1 Non-investable and Investable Indices3.2.2 Dow Jones Credit Suisse Hedge Fund Indexes; 3.2.2.1 Liquid Alternative Betas; 3.2.3 Hedge Fund Research; 3.2.4 HedgeFund.net; 3.2.5 FTSE Hedge; 3.2.5.1 FTSE Hedge Momentum Index; 3.2.6 Greenwich Alternative Investments; 3.2.6.1 GAI Investable Indices; 3.2.7 Morningstar Alternative Investment Center; 3.2.7.1 MSCI Hedge Fund Classification Standard; 3.2.7.2 MSCI Investable Indices; 3.2.8 EDHEC Risk and Asset Management Research Centre (www.edhec-risk.com); 3.3 Database and Index Biases; 3.3.1 Survivorship Bias; 3.3.2 Instant History Bias | ||
| 500 | |a 3.4 Benchmarking3.4.1 Tracking Error; Appendix A: Weighting Schemes; 4 Statistical Analysis; 4.1 Basic Performance Plots; 4.1.1 Value Added Monthly Index; 4.1.2 Histograms; 4.2 Probability Distributions; 4.2.1 Populations and Samples; 4.3 Probability Density Function; 4.4 Cumulative Distribution Function; 4.5 The Normal Distribution; 4.5.1 Standard Normal Distribution; 4.6 Visual Tests for Normality; 4.6.1 Inspection; 4.6.2 Normal Q-Q Plot; 4.7 Moments of a Distribution; 4.7.1 Mean and Standard Deviation; 4.7.2 Skewness; 4.7.3 Excess Kurtosis; 4.7.4 Data Analysis Tool: Descriptive Statistics | ||
| 500 | |a 4.8 Geometric Brownian Motion4.8.1 Uniform Random Numbers; 4.9 Covariance and Correlation; 4.10 Regression Analysis; 4.10.1 Ordinary Least Squares; 4.10.1.1 Coefficient of Determination; 4.10.1.2 Residual Plots; 4.10.1.3 Jarque-Bera Normality Test; 4.10.1.4 Data Analysis Tool: Regression; 4.11 Portfolio Theory; 4.11.1 Mean-Variance Analysis; 4.11.2 Solver: Portfolio Optimisation; 4.11.3 Efficient Portfolios; 5 Risk-Adjusted Return Metrics; 5.1 The Intuition behind Risk-Adjusted Returns; 5.1.1 Risk-Adjusted Returns; 5.2 Common Risk-Adjusted Performance Ratios; 5.2.1 The Sharpe Ratio | ||
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Datensatz im Suchindex
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| author | Darbyshire, Paul Hampton, David |
| author_GND | (DE-588)1026972361 |
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| dewey-full | 332.645240285554 |
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| id | DE-604.BV042740550 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:08:36Z |
| institution | BVB |
| isbn | 1119945631 111994564X 9781119945635 9781119945642 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028171422 |
| oclc_num | 772845285 |
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| owner_facet | DE-91 DE-BY-TUM |
| physical | 1 Online-Ressource (279 pages) |
| psigel | ZDB-4-NLEBK ZDB-4-NLEBK TUM_PDA_EBSCOBAE_gekauft |
| publishDate | 2012 |
| publishDateSearch | 2012 |
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| publisher | John Wiley & Sons |
| record_format | marc |
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| spelling | Darbyshire, Paul Verfasser aut Hedge Fund Modeling and Analysis Using Excel and VBA Paul Darbyshire and David Hampton Hoboken John Wiley & Sons 2012 1 Online-Ressource (279 pages) txt rdacontent c rdamedia cr rdacarrier Wiley finance series Hedge Fund Modelling and Analysis Using Excel and VBA; Contents; Preface; 1 The Hedge Fund Industry; 1.1 What Are Hedge Funds?; 1.2 The Structure of a Hedge Fund; 1.2.1 Fund Administrators; 1.2.2 Prime Brokers; 1.2.3 Custodian, Auditors and Legal; 1.3 The Global Hedge Fund Industry; 1.3.1 North America; 1.3.2 Europe; 1.3.3 Asia; 1.4 Specialist Investment Techniques; 1.4.1 Short Selling; 1.4.2 Leverage; 1.4.3 Liquidity; 1.5 New Developments for Hedge Funds; 1.5.1 UCITS III Hedge Funds; 1.5.2 The European Passport; 1.5.3 Restrictions on Short Selling; 2 Major Hedge Fund Strategies 2.1 Single- and Multi-Strategy Hedge Funds2.2 Fund of Hedge Funds; 2.3 Hedge Fund Strategies; 2.3.1 Tactical Strategies; 2.3.1.1 Global Macro; 2.3.1.2 Managed Futures; 2.3.1.3 Long/Short Equity; 2.3.1.4 Pairs Trading; 2.3.2 Event-Driven; 2.3.2.1 Distressed Securities; 2.3.2.2 Merger Arbitrage; 2.3.3 Relative Value; 2.3.3.1 Equity Market Neutral; 2.3.3.2 Convertible Arbitrage; 2.3.3.3 Fixed Income Arbitrage; 2.3.3.3.1 Capital Structure Arbitrage; 2.3.3.3.2 Swap-Spread Arbitrage; 2.3.3.3.3 Yield Curve Arbitrage; 3 Hedge Fund Data Sources; 3.1 Hedge Fund Databases; 3.2 Major Hedge Fund Indices 3.2.1 Non-investable and Investable Indices3.2.2 Dow Jones Credit Suisse Hedge Fund Indexes; 3.2.2.1 Liquid Alternative Betas; 3.2.3 Hedge Fund Research; 3.2.4 HedgeFund.net; 3.2.5 FTSE Hedge; 3.2.5.1 FTSE Hedge Momentum Index; 3.2.6 Greenwich Alternative Investments; 3.2.6.1 GAI Investable Indices; 3.2.7 Morningstar Alternative Investment Center; 3.2.7.1 MSCI Hedge Fund Classification Standard; 3.2.7.2 MSCI Investable Indices; 3.2.8 EDHEC Risk and Asset Management Research Centre (www.edhec-risk.com); 3.3 Database and Index Biases; 3.3.1 Survivorship Bias; 3.3.2 Instant History Bias 3.4 Benchmarking3.4.1 Tracking Error; Appendix A: Weighting Schemes; 4 Statistical Analysis; 4.1 Basic Performance Plots; 4.1.1 Value Added Monthly Index; 4.1.2 Histograms; 4.2 Probability Distributions; 4.2.1 Populations and Samples; 4.3 Probability Density Function; 4.4 Cumulative Distribution Function; 4.5 The Normal Distribution; 4.5.1 Standard Normal Distribution; 4.6 Visual Tests for Normality; 4.6.1 Inspection; 4.6.2 Normal Q-Q Plot; 4.7 Moments of a Distribution; 4.7.1 Mean and Standard Deviation; 4.7.2 Skewness; 4.7.3 Excess Kurtosis; 4.7.4 Data Analysis Tool: Descriptive Statistics 4.8 Geometric Brownian Motion4.8.1 Uniform Random Numbers; 4.9 Covariance and Correlation; 4.10 Regression Analysis; 4.10.1 Ordinary Least Squares; 4.10.1.1 Coefficient of Determination; 4.10.1.2 Residual Plots; 4.10.1.3 Jarque-Bera Normality Test; 4.10.1.4 Data Analysis Tool: Regression; 4.11 Portfolio Theory; 4.11.1 Mean-Variance Analysis; 4.11.2 Solver: Portfolio Optimisation; 4.11.3 Efficient Portfolios; 5 Risk-Adjusted Return Metrics; 5.1 The Intuition behind Risk-Adjusted Returns; 5.1.1 Risk-Adjusted Returns; 5.2 Common Risk-Adjusted Performance Ratios; 5.2.1 The Sharpe Ratio Microsoft Excel (Computer file) Microsoft Visual Basic for applications Business and economics / Finance Microsoft visual basic for applications Business BUSINESS & ECONOMICS / Investments & Securities / Futures bisacsh Mathematisches Modell Wirtschaft Hedge funds Mathematical models Hampton, David Verfasser (DE-588)1026972361 aut http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=421910 Aggregator Volltext |
| spellingShingle | Darbyshire, Paul Hampton, David Hedge Fund Modeling and Analysis Using Excel and VBA Microsoft Excel (Computer file) Microsoft Visual Basic for applications Business and economics / Finance Microsoft visual basic for applications Business BUSINESS & ECONOMICS / Investments & Securities / Futures bisacsh Mathematisches Modell Wirtschaft Hedge funds Mathematical models |
| title | Hedge Fund Modeling and Analysis Using Excel and VBA |
| title_auth | Hedge Fund Modeling and Analysis Using Excel and VBA |
| title_exact_search | Hedge Fund Modeling and Analysis Using Excel and VBA |
| title_full | Hedge Fund Modeling and Analysis Using Excel and VBA Paul Darbyshire and David Hampton |
| title_fullStr | Hedge Fund Modeling and Analysis Using Excel and VBA Paul Darbyshire and David Hampton |
| title_full_unstemmed | Hedge Fund Modeling and Analysis Using Excel and VBA Paul Darbyshire and David Hampton |
| title_short | Hedge Fund Modeling and Analysis Using Excel and VBA |
| title_sort | hedge fund modeling and analysis using excel and vba |
| topic | Microsoft Excel (Computer file) Microsoft Visual Basic for applications Business and economics / Finance Microsoft visual basic for applications Business BUSINESS & ECONOMICS / Investments & Securities / Futures bisacsh Mathematisches Modell Wirtschaft Hedge funds Mathematical models |
| topic_facet | Microsoft Excel (Computer file) Microsoft Visual Basic for applications Business and economics / Finance Microsoft visual basic for applications Business BUSINESS & ECONOMICS / Investments & Securities / Futures Mathematisches Modell Wirtschaft Hedge funds Mathematical models |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=421910 |
| work_keys_str_mv | AT darbyshirepaul hedgefundmodelingandanalysisusingexcelandvba AT hamptondavid hedgefundmodelingandanalysisusingexcelandvba |