photo

Attilio Meucci


Aktiv seit 2009

Followers: 0   Following: 0

Nachricht

Statistik

  • Personal Best Downloads Level 3
  • 5-Star Galaxy Level 5
  • First Submission

Abzeichen anzeigen

Feeds

Anzeigen nach

Gesendet


Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes
Inverse Call Transformation to compute shadow rates

mehr als 8 Jahre vor | 2 Downloads |

Thumbnail

Gesendet


Portfolio Diversi…cation Based on Optimized Uncorrelated Factors
Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution

fast 10 Jahre vor | 1 Download |

Thumbnail

Gesendet


A Fully Integrated Liquidity and Market Risk Model
Conditional convolution algorithm to blend market risk and liquidity risk

mehr als 10 Jahre vor | 3 Downloads |

Thumbnail

Gesendet


Copula-Marginal Algorithm (CMA)
Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management

mehr als 12 Jahre vor | 5 Downloads |

Thumbnail

Gesendet


Visualizing the Propagation of Risk
Square-root rule diffusion for location-dispersion ellipsoid

etwa 13 Jahre vor | 1 Download |

Thumbnail

Gesendet


Robust Bayesian Allocation
portofolio optimization that controls for estimation risk

etwa 13 Jahre vor | 2 Downloads |

Thumbnail

Gesendet


Review of Discrete and Continuous Processes in Finance
discrete-time and continuous-time processes for finance, theory and empirical examples

etwa 13 Jahre vor | 5 Downloads |

Thumbnail

Gesendet


Managing Diversification
Entropy-based mean-diversification efficient frontier

etwa 13 Jahre vor | 7 Downloads |

Thumbnail

Gesendet


Estimation of Structured t-Copulas
Recursive routine to estimate structured correlation matrix and degrees of freedom

etwa 13 Jahre vor | 1 Download |

Thumbnail

Gesendet


Simulations with Exact Means and Covariances
Exact multivariate normal simulation

etwa 13 Jahre vor | 3 Downloads |

Thumbnail

Gesendet


Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation

etwa 13 Jahre vor | 7 Downloads |

Thumbnail

Gesendet


Fully Flexible Extreme Views
Entropy Pooling for extreme views on CVaR

etwa 13 Jahre vor | 3 Downloads |

Thumbnail

Gesendet


Factors on Demand
Proper implementation of factor models: bottom-up estimation, top-down attribution

etwa 13 Jahre vor | 3 Downloads |

Thumbnail

Gesendet


Review of Dynamic Allocation Strategies
Convex versus Concave Management, CPPI, OBPI, portfolio insurance, etc.

etwa 13 Jahre vor | 6 Downloads |

Thumbnail

Gesendet


Exercises in Advanced Risk and Portfolio Management
text and comments on solutions available at http://symmys.com/node/170

etwa 13 Jahre vor | 4 Downloads |

Gesendet


Fully Flexible Views and Stress-testing
Full generalization of Black-Litterman and related techniques via entropy pooling

etwa 13 Jahre vor | 4 Downloads |

Thumbnail

Gesendet


Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics
Higher moments at any horizon

etwa 13 Jahre vor | 1 Download |

Thumbnail

Gesendet


Historical Scenarios with Fully Flexible Probabilities
State- and time-dependent risk management through Entropy Pooling

etwa 13 Jahre vor | 2 Downloads |

Thumbnail

Gesendet


Fully Flexible Bayesian Networks
Specification of conditional probabilities with minimal information through Entropy Pooling

etwa 13 Jahre vor | 4 Downloads |

Thumbnail

Gesendet


Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management
Compounded returns for projection/estimation Linear returns for portfolio aggregation

etwa 13 Jahre vor | 1 Download |

Thumbnail

Gesendet


Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects
"Beta" not just the CAPM, "Beta" not on log-returns

etwa 13 Jahre vor | 2 Downloads |

Thumbnail

Gesendet


Risk and Asset Allocation
Software for quantitative portfolio and risk management

etwa 15 Jahre vor | 16 Downloads |

Thumbnail