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To walk through the code and for a thorough description, refer toA. Meucci (2009) , "Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck",Latest version of article and code available at http://symmys.com/node/132

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 thorough description, refer to A. Meucci (2009), "Review...

To walk through the code and for a thorough description, refer toSee A. Meucci (2009), "Managing Diversification"Latest version of article and code available at http://symmys.com/node/199


Platforms: Matlab

For a detailed description please refer to A. Meucci (2008) "Estimation of Structured t-Copulas"Latest version of article and code available at http://symmys.com/node/134


Platforms: Matlab

To walk through the code and for a thorough description, refer toA. Meucci, D. Ardia, S.Keel (2010) "Fully Flexible Extreme Views",Latest version of article and code available at http://symmys.com/node/159


Platforms: Matlab

To walk through the code and for a thorough description, refer toA. Meucci, "Fully Flexible Views: Theory and Practice"Latest version of article and code available at http://symmys.com/node/158


Platforms: Matlab

To walk through the code and for a thorough description, refer toMeucci, A. (2010) "Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics"Latest version of article and code available at http://symmys.com/node/136


Platforms: Matlab

To walk through the code and for a thorough description, refer toA. Meucci, (2010) "Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management",Latest version of code and article available at http://symmys.com/node/141


Platforms: Matlab

Multivariate normal simulations where sample mean and covariances match the respective population moments, refer toA. Meucci (2009), "Simulations with Exact Means and Covariances",Latest version of article and code available at http://symmys.com/node/162


Platforms: Matlab

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 NTo walk through the code and for a thorough description, seeMeucci A., "Factors...


Platforms: Matlab

To walk through the code and for a thorough description, seeMeucci A., "Review of Dynamic Allocation Strategies"Latest version of article and code available at http://symmys.com/node/153


Platforms: Matlab