Risk and Asset Allocation
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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 dominance
- extreme value theory for VaR
- Cornish-Fisher approximation for VaR
- kernel-based contribution to VaR and expected shortfall from different risk-factors
- mean-variance analysis and pitfalls (different horizons, compounded vs. linear returns, etc...)
- Bayesian estimation (multivariate analytical, Monte Carlo Markov Chains, priors for correlation matrices)
- estimation risk evaluation: opportunity cost of estimation-based allocations
- Black Litterman allocation
- robust optimization (calls SeDuMi to perform cone programming)
- robust Bayesian allocation
- more...
In addition to these MATLAB routines, at www.symmys.com the reader can find other freely downloadable complementary materials:
- the "Technical Appendices", a booklet with the proofs of the results presented in the books and used in the routines
- the "Slides", a set of presentations that walk the reader through the whole book
- the "Errata", a few typos in the first two reprints of the book
- the "Sample", an excerpt of the book.
Any feedback on the above materials is highly appreciated: please refer to www.symmys.com to contact the author.
Free download from Shareware Connection - These routines support the book "Risk and Asset Allocation" Springer Finance, by A. Meucci, see
Version: 1.0 | Size: 6779 KB | Platform: Matlab, Scripts
Released Date: 16-04-2013 | Rating: 0 | Title: Risk and Asset Allocation
Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/9061/2/AMeucciRiskandAssetAllocationRoutines.zip
Simulations with Exact Means and Covariances - 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.
Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck - 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.
Visualizing the Propagation of Risk - 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.
Exercises in Advanced Risk and Portfolio Management - Exercises and case studies for a rigorous approach to risk- and portfolio-management
Review of Discrete and Continuous Processes in Finance - Discrete-time models: random walk, ARMA, fractional integration, GARCH).
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