These routines support the book "Risk and Asset Allocation" Springer Finance, by A. Meucci, see http://www.symmys.com
The 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
In addition to these MATLAB routines, at www.symmys.com 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 www.symmys.com to contact the author.
Attilio Meucci (2020). Risk and Asset Allocation (https://www.mathworks.com/matlabcentral/fileexchange/9061-risk-and-asset-allocation), MATLAB Central File Exchange. Retrieved .
great and simple code
Excelent source for Quants..
very useful. thanks
very good Book and code is illustrative!! thanks.
Very nice for illustrative purposes.
An excellent piece of work!
It gives us the BIG PICTURE (and much of the details) of asset allocation and statistics.
Very useful and complete.
one of the few COMPLETE book in asset allocation, exaustive and stimulating. a dream for a researcher !!! you NEED this if you really serious.
An amazing book, and extremely useful and user-friendly code. Thank you.
Excelent source of free knowlegde!
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