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Code Listing by Attilio Meucci

Code 1-10 of 18   Pages: Go to  1  2  Next >>  page  






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



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



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...



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
-...



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...



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...



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...



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



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



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