Exercises in Advanced Risk and Portfolio Management

Version 1.4.0.0 (1,43 Mo) par Attilio Meucci
text and comments on solutions available at http://symmys.com/node/170
5.0
(9)
13,2K téléchargements
Mise à jour 9 mai 2011

Afficher la licence

To walk through the code and for a thorough description, refer to
A. Meucci, (2009) "Exercises in Advanced Risk and Portfolio Management - With Step-by-Step Solutions and Fully Documented Code"
Latest version of article and code available at http://symmys.com/node/170

Citation pour cette source

Attilio Meucci (2024). Exercises in Advanced Risk and Portfolio Management (https://www.mathworks.com/matlabcentral/fileexchange/25010-exercises-in-advanced-risk-and-portfolio-management), MATLAB Central File Exchange. Récupéré le .

Compatibilité avec les versions de MATLAB
Créé avec R2009a
Compatible avec toutes les versions
Plateformes compatibles
Windows macOS Linux
Catégories
En savoir plus sur Portfolio Optimization and Asset Allocation dans Help Center et MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Meucci_ExercisesRiskPortfolioMgmt/10_EstimationRisk/A_General/

Meucci_ExercisesRiskPortfolioMgmt/10_EstimationRisk/C_Robust/

Meucci_ExercisesRiskPortfolioMgmt/10_EstimationRisk/D_BLnBeyond/BL/

Meucci_ExercisesRiskPortfolioMgmt/10_EstimationRisk/D_BLnBeyond/BeyondBL/

Meucci_ExercisesRiskPortfolioMgmt/1_Distributions/General/

Meucci_ExercisesRiskPortfolioMgmt/1_Distributions/Parametric/

Meucci_ExercisesRiskPortfolioMgmt/1_Distributions/SpecialClasses/

Meucci_ExercisesRiskPortfolioMgmt/2_Dependence/Copula/

Meucci_ExercisesRiskPortfolioMgmt/2_Dependence/Correlation/

Meucci_ExercisesRiskPortfolioMgmt/3_QuestForInvariance/Empirical/

Meucci_ExercisesRiskPortfolioMgmt/3_QuestForInvariance/Theory/

Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/Bayesian/

Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/MLE/

Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/MissingData/

Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/NonParametric/

Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/Shrinkage/

Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/Testing/

Meucci_ExercisesRiskPortfolioMgmt/5_ProjectionPricing/

Meucci_ExercisesRiskPortfolioMgmt/5_ProjectionPricing/MultivariateGARCH/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/1PureResidual/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/2CrossSectional/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/3TimeSeries/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/4Statistical/FactorAnalysis/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/4Statistical/PCA/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/4Statistical/RandMatrixTheory/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/5FactorsOnDemand/FoDHorizon/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/5FactorsOnDemand/FoDSelectionHeuristics/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/5FactorsOnDemand/FoDhedge/

Meucci_ExercisesRiskPortfolioMgmt/7_RiskManagement/A_Objectives/

Meucci_ExercisesRiskPortfolioMgmt/7_RiskManagement/D_VaR/

Meucci_ExercisesRiskPortfolioMgmt/7_RiskManagement/E_CVaR/

Meucci_ExercisesRiskPortfolioMgmt/8_StaticPortfManagement/

Meucci_ExercisesRiskPortfolioMgmt/9_DynamicStrategies/

Version Publié le Notes de version
1.4.0.0

updated references
1.3.0.0

Added random matrix theory
Added dynamic strategies
1.2.0.0

Added new exercises
1.1.0.0

Added exercises
1.0.0.0