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  • License: Freeware
  • Last update: 5 years ago
  • Total downloads: 98
  • Price: Free |
  • Operating system: Linux, Mac OS X, Win All, BSD, Solaris
  • Publisher: Attilio Meucci (17 other programs)
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scripts default iconFactors on Demand (Scripts) Publisher's description

Three case studies: random matrix theory for estimation vs

Three case studies: random matrix theory for estimation vs. cross-sectional model for attribution; hedging based on full-repricing instead of Black-Scholes deltas; heuristcs for best K attribution/hedging factors out N

To walk through the code and for a thorough description, see
Meucci A., "Factors on Demand",

Latest version of article and code available at http://symmys.com/node/164

System Requirements:

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

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