Exercises in Advanced Risk and Portfolio Management 1.0

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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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