Exercises in Advanced Risk and Portfolio Management
To walk through the code and for a thorough description, refer to
A. Meucci, (2009) "Exercises in Advanced Risk and Portfolio Management - With Step-by-Step Solutions and Fully Documented Code"
Latest version of article and code available at http://symmys.com/node/170
Zitieren als
Attilio Meucci (2024). Exercises in Advanced Risk and Portfolio Management (https://www.mathworks.com/matlabcentral/fileexchange/25010-exercises-in-advanced-risk-and-portfolio-management), MATLAB Central File Exchange. Abgerufen .
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- Computational Finance > Financial Toolbox > Portfolio Optimization and Asset Allocation >
- Computational Finance > Risk Management Toolbox >
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Inspiriert: ConvertCentraToRawMoments2d( centralMoments, mean )
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Meucci_ExercisesRiskPortfolioMgmt/10_EstimationRisk/A_General/
Meucci_ExercisesRiskPortfolioMgmt/10_EstimationRisk/C_Robust/
Meucci_ExercisesRiskPortfolioMgmt/10_EstimationRisk/D_BLnBeyond/BL/
Meucci_ExercisesRiskPortfolioMgmt/10_EstimationRisk/D_BLnBeyond/BeyondBL/
Meucci_ExercisesRiskPortfolioMgmt/1_Distributions/General/
Meucci_ExercisesRiskPortfolioMgmt/1_Distributions/Parametric/
Meucci_ExercisesRiskPortfolioMgmt/1_Distributions/SpecialClasses/
Meucci_ExercisesRiskPortfolioMgmt/2_Dependence/Copula/
Meucci_ExercisesRiskPortfolioMgmt/2_Dependence/Correlation/
Meucci_ExercisesRiskPortfolioMgmt/3_QuestForInvariance/Empirical/
Meucci_ExercisesRiskPortfolioMgmt/3_QuestForInvariance/Theory/
Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/Bayesian/
Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/MLE/
Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/MissingData/
Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/NonParametric/
Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/Shrinkage/
Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/Testing/
Meucci_ExercisesRiskPortfolioMgmt/5_ProjectionPricing/
Meucci_ExercisesRiskPortfolioMgmt/5_ProjectionPricing/MultivariateGARCH/
Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/1PureResidual/
Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/2CrossSectional/
Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/3TimeSeries/
Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/4Statistical/FactorAnalysis/
Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/4Statistical/PCA/
Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/4Statistical/RandMatrixTheory/
Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/5FactorsOnDemand/FoDHorizon/
Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/5FactorsOnDemand/FoDSelectionHeuristics/
Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/5FactorsOnDemand/FoDhedge/
Meucci_ExercisesRiskPortfolioMgmt/7_RiskManagement/A_Objectives/
Meucci_ExercisesRiskPortfolioMgmt/7_RiskManagement/D_VaR/
Meucci_ExercisesRiskPortfolioMgmt/7_RiskManagement/E_CVaR/
Meucci_ExercisesRiskPortfolioMgmt/8_StaticPortfManagement/
Meucci_ExercisesRiskPortfolioMgmt/9_DynamicStrategies/
Version | Veröffentlicht | Versionshinweise | |
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1.4.0.0 | updated references |
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1.3.0.0 | Added random matrix theory
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1.2.0.0 | Added new exercises |
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1.1.0.0 | Added exercises |
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1.0.0.0 |