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Exercises in Advanced Risk and Portfolio Management 1.0
File ID: 78978






Exercises in Advanced Risk and Portfolio Management 1.0
Download Exercises in Advanced Risk and Portfolio Management 1.0http://www.mathworks.comReport Error Link
License: Freeware
File Size: 1.5 MB
Downloads: 32
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Exercises in Advanced Risk and Portfolio Management 1.0 Description
Description: 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)
- Generalized objectives (p&l, return, relative return, etc)
- Stochastic dominance/utility theory
Classical portfolio management: mean-variance
Dynamic strategies (option replication, CPPI, utlity maximization)
Advanced portfolio management
- Robust optimization
- Black-Litterman and beyond: fully flexible views
Solution code available at MATLAB Central File Exchange.

License: Freeware

Related: theory cornishfisher, varcvar marginal euler, viewssolution code, utlity maximizationadvanced portfolio, Risk, theoryclassical portfolio management, booklet stems, timeseries factor models, volatlity clustering cointegrationmutlivariate, analysis crosssec

O/S:BSD, Linux, Solaris, Mac OS X

File Size: 1.5 MB

Downloads: 32



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