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Feeds
A soumis
Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes
Inverse Call Transformation to compute shadow rates
presque 11 ans il y a | 1341 téléchargements |
A soumis
Portfolio Diversi cation Based on Optimized Uncorrelated Factors
Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution
environ 12 ans il y a | 2680 téléchargements |
A soumis
A Fully Integrated Liquidity and Market Risk Model
Conditional convolution algorithm to blend market risk and liquidity risk
presque 13 ans il y a | 1916 téléchargements |
A soumis
Copula-Marginal Algorithm (CMA)
Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management
presque 15 ans il y a | 3960 téléchargements |
A soumis
Visualizing the Propagation of Risk
Square-root rule diffusion for location-dispersion ellipsoid
plus de 15 ans il y a | 1398 téléchargements |
A soumis
Robust Bayesian Allocation
portofolio optimization that controls for estimation risk
plus de 15 ans il y a | 1541 téléchargements |
A soumis
Review of Discrete and Continuous Processes in Finance
discrete-time and continuous-time processes for finance, theory and empirical examples
plus de 15 ans il y a | 8031 téléchargements |
A soumis
Managing Diversification
Entropy-based mean-diversification efficient frontier
plus de 15 ans il y a | 6086 téléchargements |
A soumis
Estimation of Structured t-Copulas
Recursive routine to estimate structured correlation matrix and degrees of freedom
plus de 15 ans il y a | 4244 téléchargements |
A soumis
Simulations with Exact Means and Covariances
Exact multivariate normal simulation
plus de 15 ans il y a | 4144 téléchargements |
A soumis
Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation
plus de 15 ans il y a | 8127 téléchargements |
A soumis
Fully Flexible Extreme Views
Entropy Pooling for extreme views on CVaR
plus de 15 ans il y a | 1845 téléchargements |
A soumis
Factors on Demand
Proper implementation of factor models: bottom-up estimation, top-down attribution
plus de 15 ans il y a | 4063 téléchargements |
A soumis
Review of Dynamic Allocation Strategies
Convex versus Concave Management, CPPI, OBPI, portfolio insurance, etc.
plus de 15 ans il y a | 3725 téléchargements |
A soumis
Exercises in Advanced Risk and Portfolio Management
text and comments on solutions available at http://symmys.com/node/170
plus de 15 ans il y a | 13291 téléchargements |
A soumis
Fully Flexible Views and Stress-testing
Full generalization of Black-Litterman and related techniques via entropy pooling
plus de 15 ans il y a | 8493 téléchargements |
A soumis
Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics
Higher moments at any horizon
plus de 15 ans il y a | 1404 téléchargements |
A soumis
Historical Scenarios with Fully Flexible Probabilities
State- and time-dependent risk management through Entropy Pooling
plus de 15 ans il y a | 1505 téléchargements |
A soumis
Fully Flexible Bayesian Networks
Specification of conditional probabilities with minimal information through Entropy Pooling
plus de 15 ans il y a | 2106 téléchargements |
A soumis
Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management
Compounded returns for projection/estimation Linear returns for portfolio aggregation
plus de 15 ans il y a | 1199 téléchargements |
A soumis
Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects
"Beta" not just the CAPM, "Beta" not on log-returns
plus de 15 ans il y a | 1104 téléchargements |
A soumis
Risk and Asset Allocation
Software for quantitative portfolio and risk management
plus de 17 ans il y a | 34121 téléchargements |
