Exercises in Advanced Risk and Portfolio Management

Version 1.4.0.0 (1.43 MB) by Attilio Meucci
text and comments on solutions available at http://symmys.com/node/170
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Updated 9 May 2011

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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

Cite As

Attilio Meucci (2026). 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. Retrieved .

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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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 Published Release Notes
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