Software Listing of Author : "Attilio Meucci"

To walk through the code and for a thorough description, refer to Meucci, A. (2010) "Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics" Latest version of article and code available at http://symmys.com/node/136

  • Platform: Matlab, Scripts

To walk through the code and for a thorough description, refer to A. Meucci, "A New Breed of Copulas for Risk and Portfolio Managemen", Risk (September 2011). Latest version of article and code available at http://symmys.com/node/335

  • Platform: Matlab, Scripts

For a detailed description please refer to A. Meucci (2008) "Estimation of Structured t-Copulas" Latest version of article and code available at http://symmys.com/node/134

  • Platform: Matlab, Scripts

Exercises and case studies for a rigorous approach to risk- and portfolio-management. This booklet stems from the review sessions of the six-day ARPM bootcamp. Contents include: Advanced multivariate statistics; copula-marginal decomposition Annualization/projection (FFT, cumulants, simulations) Pricing: exact; first order (delta/duration); second order (gamma/convexity) Quest for invariance (stationarity, volatlity clustering, cointegration) Mutlivariate estimation - Non-parametric; MLE; shrinkage; robust; Bayesian; missing data - Generalized hypothesis testing Dimension reduction - Statistical (random matrices; principal components; factor analysis) - Cross-sectional / time-series factor models - Factors on Demand Risk management - VaR/CVaR (marginal Euler decomposition; extreme value theory; Cornish-Fisher; elliptical) -...

  • Platform: Matlab, Scripts

Three case studies: random matrix theory for estimation vs. cross-sectional model for attribution; hedging based on full-repricing instead of Black-Scholes deltas; heuristcs for best K attribution/hedging factors out N To walk through the code and for a thorough description, see Meucci A., "Factors on Demand", Latest version of article and code available at http://symmys.com/node/164

  • Platform: Matlab, Scripts

To walk through the code and for a thorough description, refer to A. Meucci, (2010) "Fully Flexible Bayesian Networks" Latest version of code and article available at http://www.symmys.com/node/152

  • Platform: Matlab, Scripts

To walk through the code and for a thorough description, refer to A. Meucci, D. Ardia, S.Keel (2010) "Fully Flexible Extreme Views", Latest version of article and code available at http://symmys.com/node/159

  • Platform: Matlab, Scripts

To walk through the code and for a thorough description, refer to A. Meucci, "Fully Flexible Views: Theory and Practice" Latest version of article and code available at http://symmys.com/node/158

  • Platform: Matlab, Scripts

To walk through the code and for a thorough description, refer to A. Meucci, (2010) "Personalized Risk Management: Historical Scenarios with Fully Flexible Probabilities" Latest version of article and code available at http://www.symmys.com/node/150

  • Platform: Matlab, Scripts

To walk through the code and for a thorough description, refer to A. Meucci, (2010) "Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management", Latest version of code and article available at http://symmys.com/node/141

  • Platform: Matlab, Scripts

To walk through the code and for a thorough description, refer to See A. Meucci (2009), "Managing Diversification" Latest version of article and code available at http://symmys.com/node/199

  • Platform: Matlab, Scripts

Discrete-time models: random walk, ARMA, fractional integration, GARCH). Continuous-time counterparts: Levy processes, Ornstein-Uhlenbeck, fractional Brownian motion, stochastic volatility, subordination. To walk through the code and for a thorough description, refer to A. Meucci (2009), "Review of Discrete and Continuous Processes in Finance - Theory and Applications", available at http://symmys.com/node/131

  • Platform: Matlab, Scripts

To walk through the code and for a thorough description, see Meucci A., "Review of Dynamic Allocation Strategies" Latest version of article and code available at http://symmys.com/node/153

  • Platform: Matlab, Scripts

To walk through the code and for a thorough description, refer to A. Meucci (2009) , "Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck", Latest version of article and code available at http://symmys.com/node/132

  • Platform: Matlab, Scripts

These routines support the book "Risk and Asset Allocation" Springer Finance, by A. Meucci, see http://www.symmys.com The routines include many new features: - more uni-, multi- and matrix-variate distributions - more copulas - more graphical representations - more analyses in terms of the location-dispersion ellipsoid. - best replication / best factor selection - FFT-based projection of a distribution to the investment horizon - caveats about delta/gamma pricing - step-by-step evaluation of a generic estimator - non-parametric estimators - multivariate elliptical maximum-likelihood estimators - shrinkage estimators: Stein and Ledoit-Wolf, Bayesian classical equivalent - robust estimators: Hubert M, high-breakdown minimum volume ellipsoid - missing-data techniques: EM algorithm, uneven-series conditional estimation - stochastic...

  • Platform: Matlab, Scripts

To walk through the code and for a thorough description, refer to A. Meucci (2005), "Robust Bayesian Allocation". Latest version of article and code available at http://symmys.com/node/102

  • Platform: Matlab, Scripts

Multivariate normal simulations where sample mean and covariances match the respective population moments, refer to A. Meucci (2009), "Simulations with Exact Means and Covariances", Latest version of article and code available at http://symmys.com/node/162

  • Platform: Matlab, Scripts

To walk through the code and for a thorough description, refer to A. Meucci (2010), "Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids" Latest version of article and code available at http://symmys.com/node/137

  • Platform: Matlab, Scripts
New Reviews

Print Inspector

Whether you are using a printer connected to your local desktop computer or a print server sometimes you need to see whats going on in your printer by having a close look at the print jobs sent by the users. Print Inspector is such type software ...


Disk Genius

Disk Genius was formerly known as Partition Guru which is an all-in-one solution for disk partition management, data recovery and disk repairing. It can recover lost files from partition, backup and restore partition table, clone partition or clone ...


Safe In Cloud

It is quite difficult to find any computer users nowadays who do not need to use the web, for any purpose. Whether it is for education or entertainment, the web is your best resource. You also need to use various online services for banking, ...


PictBear

Nowadays, a majority of PC users resort to digital image editing once in a while. It may be required for retouching image captured in smart phones or for creating an album in Facebook. For some people, tinkering with digital images is a pastime too. ...


Panda Cloud Cleaner

PC security has become a tricky and complicated subject both for home users and network supervisors, with complexity and risk factors multiplying over the years. Using a single antivirus app may not be enough anymore. That explains why many users ...


SnapCrab

Nearly every PC users need to take screenshots from time to time, whether it is for personal or professional needs. While using the basic Windows screenshot capture method is available, it is not adequate for everyone. When you want to capture ...


BitKiller

Dealing with various types of data efficiently holds the key to success in any computing task. Apart from generating new data and modifying existing files, it becomes necessary to delete existing files at times. While most users resort to using ...


New Downloads

Rapid PDF Count

Rapid PDF Count will show you
how many pages are in many
PDF\'s and generate reports
for you with a few mouse
clicks.

PDF Data Extractor

PDF Data Extractor can extract
certain text information
within the PDF, This is an
ideal product if you had for
example a ...

Aml Maple

Aml Maple has a new kind of
view on keyboard layout
indicators: simple, modern,
flexible. In addition, you can
change the ...

PhotoStage Photo Slideshow
Software Free

PhotoStage Free Slideshow
Software lets you create a
slideshow from your digital
photos and videos on Windows
and apply ...

Vivaldi for MacOS

The Vivaldi browser lets you
be in control of how your
browser looks, feels and
works. It does not track you,
adapts to ...

Active@ LiveCD

Active@ LiveCD is tool set
which helps you to recover
lost data, reset passwords,
back up computers, securely
erase data.

UFS Explorer Professional
Recovery

UFS Explorer Professional
Recovery is a software
solution for a wide range of
data recovery tasks, with a
particular ...

Vivaldi for Windows 64

The Vivaldi browser does not
track you and lets you be in
control of how your browser
looks, feels and works. It
adapts ...

NEWT Professional Network
Inventory

Network scan all machines
using NEWT Professional
network inventory. Gather
important information without
ever having to ...

UNFORMAT

Unformat is a data recovery
software designed to help
users unformat hard drive
partitions and recover data
from any ...