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  • License: Freeware
  • Last update: 6 years ago
  • Total downloads: 201
  • Price: Free |
  • Operating system: Linux, Mac OS X, Win All, BSD, Solaris
  • Publisher: Attilio Meucci (17 other programs)
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scripts default iconExercises in Advanced Risk and Portfolio Management (Scripts) Publisher's description

Exercises and case studies for a rigorous approach to risk- and portfolio-management

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.

System Requirements:

MATLAB 7.8 (R2009a)
Program Release Status: Major Update
Program Install Support: Install and Uninstall

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