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Exercises in Advanced Risk and Portfolio Management 1.0

  Date Added: August 05, 2013  |  Visits: 385

Exercises in Advanced Risk and Portfolio Management

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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 decompositionAnnualization/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 testingDimension reduction- Statistical (random matrices; principal components; factor analysis)- Cross-sectional / time-series factor models- Factors on DemandRisk management- VaR/CVaR (marginal Euler decomposition; extreme value theory; Cornish-Fisher; elliptical)- Generalized objectives (p&l, return, relative return, etc)- Stochastic dominance/utility theoryClassical portfolio management: mean-varianceDynamic strategies (option replication, CPPI, utlity maximization)Advanced portfolio management- Robust optimization- Black-Litterman and beyond: fully flexible viewsSolution code available at MATLAB Central File Exchange.

Requirements: No special requirements
Platforms: Matlab
Keyword: Analysis Crosssec Booklet Stems Risk Theory Cornishfisher Theoryclassical Portfolio Management Timeseries Factor Models Utlity Maximizationadvanced Portfolio Varcvar Marginal Euler Viewssolution Code Volatlity Clustering Cointegrationmutlivariate
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License: Freeware Size: 1.46 MB
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