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Risk and Asset Allocation 1.0

  Date Added: July 21, 2013  |  Visits: 315

Risk and Asset Allocation

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These routines support the book "Risk and Asset Allocation" Springer Finance, by A. Meucci, see http://www.symmys.comThe routines include many new features:- more uni-, multi- and matrix-variate distributions- more copulas- more graphical representations- more analyses in terms of the location-dispersion ellipsoid.- best replication / best factor selection- FFT-based projection of a distribution to the investment horizon- caveats about delta/gamma pricing- step-by-step evaluation of a generic estimator- non-parametric estimators- multivariate elliptical maximum-likelihood estimators- shrinkage estimators: Stein and Ledoit-Wolf, Bayesian classical equivalent- robust estimators: Hubert M, high-breakdown minimum volume ellipsoid- missing-data techniques: EM algorithm, uneven-series conditional estimation- stochastic dominance- extreme value theory for VaR- Cornish-Fisher approximation for VaR- kernel-based contribution to VaR and expected shortfall from different risk-factors- mean-variance analysis and pitfalls (different horizons, compounded vs. linear returns, etc...)- Bayesian estimation (multivariate analytical, Monte Carlo Markov Chains, priors for correlation matrices)- estimation risk evaluation: opportunity cost of estimation-based allocations- Black Litterman allocation- robust optimization (calls SeDuMi to perform cone programming)- robust Bayesian allocation- more...In addition to these MATLAB routines, at the reader can find other freely downloadable complementary materials:- the "Technical Appendices", a booklet with the proofs of the results presented in the books and used in the routines- the "Slides", a set of presentations that walk the reader through the whole book- the "Errata", a few typos in the first two reprints of the book- the "Sample", an excerpt of the book.Any feedback on the above materials is highly appreciated: please refer to to contact the author.

Requirements: No special requirements
Platforms: Matlab
Keyword: Addition Allocation Allocations Analysis Black Calls Correlation Estimationbased Litterman Matlab Matrices Morein Opportunity Optimization Perform Pitfalls Priors Programming Sedumi
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License: Freeware Size: 6.62 MB
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