Attilio Meucci

Actif depuis 2009

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A soumis

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

plus de 8 ans il y a | 2 téléchargements |

A soumis

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

presque 10 ans il y a | 6 téléchargements |

A soumis

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

presque 11 ans il y a | 2 téléchargements |

A soumis

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

presque 13 ans il y a | 4 téléchargements |

A soumis

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

environ 13 ans il y a | 1 téléchargement |

A soumis

Robust Bayesian Allocation
portofolio optimization that controls for estimation risk

environ 13 ans il y a | 3 téléchargements |

A soumis

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

environ 13 ans il y a | 3 téléchargements |

A soumis

Managing Diversification
Entropy-based mean-diversification efficient frontier

environ 13 ans il y a | 3 téléchargements |

A soumis

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

environ 13 ans il y a | 1 téléchargement |

A soumis

Simulations with Exact Means and Covariances
Exact multivariate normal simulation

environ 13 ans il y a | 3 téléchargements |

A soumis

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

environ 13 ans il y a | 3 téléchargements |

A soumis

Fully Flexible Extreme Views
Entropy Pooling for extreme views on CVaR

environ 13 ans il y a | 1 téléchargement |

A soumis

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

environ 13 ans il y a | 3 téléchargements |

A soumis

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

environ 13 ans il y a | 3 téléchargements |

A soumis

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

environ 13 ans il y a | 5 téléchargements |

A soumis

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

environ 13 ans il y a | 2 téléchargements |

A soumis

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

environ 13 ans il y a | 1 téléchargement |

A soumis

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

environ 13 ans il y a | 2 téléchargements |

A soumis

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

environ 13 ans il y a | 2 téléchargements |

A soumis

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

environ 13 ans il y a | 1 téléchargement |

A soumis

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

environ 13 ans il y a | 2 téléchargements |

A soumis

Risk and Asset Allocation
Software for quantitative portfolio and risk management

plus de 15 ans il y a | 33 téléchargements |