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Attilio Meucci

Aktiv seit 2009

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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 |

Gesendet

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

mehr als 9 Jahre vor | 4 Downloads |

Gesendet

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

mehr als 10 Jahre vor | 5 Downloads |

Gesendet

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

mehr als 12 Jahre vor | 4 Downloads |

Gesendet

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

fast 13 Jahre vor | 1 Download |

Gesendet

Robust Bayesian Allocation
portofolio optimization that controls for estimation risk

fast 13 Jahre vor | 3 Downloads |

Gesendet

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

fast 13 Jahre vor | 2 Downloads |

Gesendet

Managing Diversification
Entropy-based mean-diversification efficient frontier

fast 13 Jahre vor | 4 Downloads |

Gesendet

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

fast 13 Jahre vor | 1 Download |

Gesendet

Simulations with Exact Means and Covariances
Exact multivariate normal simulation

fast 13 Jahre vor | 3 Downloads |

Gesendet

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

fast 13 Jahre vor | 4 Downloads |

Gesendet

Fully Flexible Extreme Views
Entropy Pooling for extreme views on CVaR

fast 13 Jahre vor | 3 Downloads |

Gesendet

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

fast 13 Jahre vor | 3 Downloads |

Gesendet

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

fast 13 Jahre vor | 6 Downloads |

Gesendet

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

fast 13 Jahre vor | 4 Downloads |

Gesendet

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

fast 13 Jahre vor | 6 Downloads |

Gesendet

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

fast 13 Jahre vor | 1 Download |

Gesendet

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

fast 13 Jahre vor | 2 Downloads |

Gesendet

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

fast 13 Jahre vor | 4 Downloads |

Gesendet

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

fast 13 Jahre vor | 1 Download |

Gesendet

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

fast 13 Jahre vor | 2 Downloads |

Gesendet

Risk and Asset Allocation
Software for quantitative portfolio and risk management

etwa 15 Jahre vor | 18 Downloads |