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
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