Community Profile

Attilio Meucci

www.symmys.com

22 total contributions since 2011

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Submitted

Risk and Asset Allocation
Software for quantitative portfolio and risk management

fast 3 Jahre ago | 21 downloads |

Submitted

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

etwa 5 Jahre ago | 3 downloads |

Submitted

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

mehr als 6 Jahre ago | 6 downloads |

Submitted

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

mehr als 7 Jahre ago | 4 downloads |

Submitted

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

mehr als 9 Jahre ago | 3 downloads |

Submitted

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

mehr als 9 Jahre ago | 3 downloads |

Submitted

Robust Bayesian Allocation
portofolio optimization that controls for estimation risk

mehr als 9 Jahre ago | 3 downloads |

Submitted

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

mehr als 9 Jahre ago | 4 downloads |

Submitted

Managing Diversification
Entropy-based mean-diversification efficient frontier

mehr als 9 Jahre ago | 6 downloads |

Submitted

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

mehr als 9 Jahre ago | 2 downloads |

Submitted

Simulations with Exact Means and Covariances
Exact multivariate normal simulation

mehr als 9 Jahre ago | 3 downloads |

Submitted

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

mehr als 9 Jahre ago | 7 downloads |

Submitted

Fully Flexible Extreme Views
Entropy Pooling for extreme views on CVaR

mehr als 9 Jahre ago | 2 downloads |

Submitted

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

mehr als 9 Jahre ago | 5 downloads |

Submitted

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

mehr als 9 Jahre ago | 5 downloads |

Submitted

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

mehr als 9 Jahre ago | 13 downloads |

Submitted

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

mehr als 9 Jahre ago | 2 downloads |

Submitted

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

mehr als 9 Jahre ago | 4 downloads |

Submitted

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

mehr als 9 Jahre ago | 3 downloads |

Submitted

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

mehr als 9 Jahre ago | 2 downloads |

Submitted

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

mehr als 9 Jahre ago | 3 downloads |

Submitted

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

mehr als 9 Jahre ago | 3 downloads |