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Visualizing the Propagation of Risk

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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

Free download from Shareware Connection - 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.

Publisher: Attilio Meucci | License: Shareware
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 22-06-2013 | Rating: 0 | Title: Visualizing the Propagation of Risk

Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/31425/1/Meucci_MultivariatePropagation.zip

More downloads from Visualizing the Propagation of Risk publisher Attilio Meucci:

Risk and Asset Allocation - These routines support the book "Risk and Asset Allocation" Springer Finance, by A. Meucci, see

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.

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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