Risk and Asset Allocation 1.0

Operating systemsOS : Windows / Linux / Mac OS / BSD / Solaris
Program licensingScript Licensing : Freeware
CreatedCreated : Aug 14, 2007
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These routines support the book "Risk and Asset ...

These routines support the book "Risk and Asset Allocation by Attilio Meucci" Springer Finance, by A. Meucci. The most recent version of these routines can be found at 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.
• MATLAB Release: R12
• Optimization Toolbox
• Statistics Toolbox

Risk and Asset Allocation 1.0 scripting tags: asset allocation, routines, estimators, risk, estimation, earth sciences, bayesian, risk allocation, robust, risk and asset allocation. What is new in Risk and Asset Allocation 1.0 software script? - Unable to find Risk and Asset Allocation 1.0 news. What is improvements are expecting? Newly-made Risk and Asset Allocation 1.1 will be downloaded from here. You may download directly. Please write the reviews of the Risk and Asset Allocation. License limitations are unspecified.