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Risk and Asset Allocation 1.0
File ID: 79715

Risk and Asset Allocation 1.0
Download Risk and Asset Allocation 1.0http://www.mathworks.comReport Error Link
License: Freeware
File Size: 6.6 MB
Downloads: 11
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Risk and Asset Allocation 1.0 Description
Description: These routines support the book "Risk and Asset Allocation" Springer Finance, by A. Meucci, see

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 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 to contact the author.

License: Freeware

Related: black, litterman, allocation, allocations, estimationbased, matrices, Opportunity, Optimization, calls, addition, matlab, morein, Programming, sedumi, perform, Correlation, priors, Analysis, pitfalls

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

File Size: 6.6 MB

Downloads: 11

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