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Highlights from
Exercises in Advanced Risk and Portfolio Management

BlackScholesCall(spot,K,r,vol... Black-Scholes price of a European call
BlackScholesCall(spot,K,r,vol... Black-Scholes price of a European call
ChoiceOptimal(Market,Investor...
ComRets2Prices(Exp_Comp_Rets,... this function computes the mean-variance inputs for stocks
Cost(Allocation,Market,Invest...
D=Delta(Time_to_Maturity,Stoc...
DecisionBestPerfomer(Market,I... % find index of best performer
Dy2Prices(Exp_DY,Cov_DY,Times... this function computes the mean-variance inputs for zero-coupon bonds
Dy2Prices(Exp_DY,Cov_DY,Times... this function computes the mean-variance inputs for zero-coupon bonds
Dy2Prices(Exp_DY,Cov_DY,Times... this function computes the mean-variance inputs for zero-coupon bonds
E=TwoDimEllipsoid(Location,Sq... this function computes the location-dispersion ellipsoid
EfficientFrontier(NumPortf, E... This function returns the NumPortf x 1 vector expected returns,
EfficientFrontier(NumPortf, E... This function returns the NumPortf x 1 vector expected returns,
EfficientFrontier(NumPortf, E... This function returns the NumPortf x 1 vector expected returns,
EfficientFrontierQP(NumPortf,... this function computes the mean-variance efficient frontier by quadratic programming
EfficientFrontierQPRets(NumPo... This function returns the NumPortf x 1 vector expected returns,
EfficientFrontierQPRetsBench(... This function returns the NumPortf x 1 vector expected returns,
EntropyProg(p,A,b,Aeq,beq) This function computes the entropy-pooling change of measure, see
FlexM(returns,demean,eps,df) PURPOSE: estimate FlexM multivariate GARCH model
G_Hat_a(X)
G_Hat_b(X)
G_Hat_c(X)
G_Hat_d(X) we use var(X,1,2) instead of var(X,0,2) to obtain the true sample estimator, which is slightly biased
G_Hat_e(X)
Goodness(Who,M)
IIDAnalysis(Data) this function performs simple invariance (i.i.d.) tests on a time series
IIDAnalysis(Dates,Data) this function performs simple invariance (i.i.d.) tests on a time series
K=Solve4Strike(Strike,Time_to...
MleRecursionForTFast(x,Nu,Tol... this function computes recursively the ML estimators of location and scatter
NormalCopulaPDF(u,Mu,Sigma)
PlotDistributions(X,p,p_)
PlotFrontier(Portfolios)
PlotFrontier(Portfolios, vol) This function plots the efficient frontier in the plane of portfolio
PlotFrontier(Portfolios, vol) This function plots the efficient frontier in the plane of portfolio
PlotNIWMarginals(Mu_Simul,Inv... this function plots numerically and analytically the marginal pdf of
Q=QuantileMixture(p,a,m_Y,s_Y... this function computes the quantile of a mixture distirbution by linear interpolation/extrapolation of the cdf
RobustEfficientFrontier(Targe...
RunAnalysis(Dates,Data,Label) this function performs simple invariance tests with generic time series
Satisfaction(Allocation,Marke...
TCopulaPDF(u,nu,Mu,Sigma)
TwoDimEllipsoid(Location,Squa... this function computes the location-dispersion ellipsoid
TwoDimEllipsoid(Location,Squa... this function computes the location-dispersion ellipsoid
TwoDimEllipsoid(Location,Squa... this function computes the location-dispersion ellipsoid
X=GenerateUniform(J,N) this function generates a uniform sample on the unit hypersphere
X=JumpDiffusionMerton(m,s,l,a... simulate number of jumps;
X=MvnRnd(M,S,J) % this function generates normal simulations whose sample moments match the population moments
X=MvnRnd(M,S,J) % this function generates normal simulations whose sample moments match the population moments
X=MvnRnd(M,S,J) % this function generates normal simulations whose sample moments match the population moments
XXX=minfro(A); function XXX=minfro(A);
[BLMu,BLSigma]=BLmFormulas(Mu...
[E_EM, S_EM, Y, CountLoop]=EM... this function implements the Expectation-Maximization (EM) algorithm to recover
[Expected_Value,Covariance,St...
[M,S]=Log2Lin(Mu,Sigma)
[Mu,Sigma,InvSigma,VecIndex]=... this function generates a multivariate i.i.d. sample of lenght J from the
[Mu,Th,Sig]=FitOU(Y,tau) this function fits a multivariate OU process at estimation step tau
[Who, Num, G]=AcceptByS(OutOf...
[Who, Num, G]=Naive(OutOfWho,...
[Who, Num, G]=RejectByS(OutOf...
[Who, g]=ExactNChooseK(OutOfW...
[X,F]=GenerateInvariants(mu_x...
[ga,mu]=SummStats(X,N) compute central moments
[mu,sigma_square]=LognMoments...
[q,qerr,hf,hferr]=garch1f4(x,... function [q,qerr,hf,hferr]=garch1f3(x)
[x_Hor,f_Hor,F_Hor]=Projectio... this function performs the horizon projection of a t-distributed invariant
f=fparam(x,th)
h=TwoDimEllipsoid(Location,Sq... this function computes the location-dispersion ellipsoid
h=pHist(X,p,nBins)
interpne(V,Xi,nodelist,method) interpne: Interpolates and extrapolates using n-linear interpolation (tensor product linear)
interpne(V,Xi,nodelist,method) interpne: Interpolates and extrapolates using n-linear interpolation (tensor product linear)
ka=Raw2Cumul(mu_)
mu=Raw2Central(mu_) code to map raw moments into central moments
mu=Raw2Central(mu_) code to map raw moments into central moments
mu_=Central2Raw(mu) code to map central moments into raw moments
mu_=Central2Raw(mu) code to map central moments into raw moments
mu_=Cumul2Raw(ka)
q=garch2f8(y,c1,a1,b1,y1,h1,c...
q=qparam(p,th)
xx=newton(M,i,b,m,aii,n,rho);
PlotEvaluationGeneric.m
S_AnalyzeLognormalCorrelation...
S_AnalyzeNIWPriorPosterior.m
S_AnalyzeNormalCorrelation.m
S_AutocorrelatedProcess.m
S_BLmBasic.m
S_BivariateSample.m
S_BondProjectionPricingNormal...
S_BondProjectionPricingT.m
S_BondResidualModel.m
S_BuyNHold.m
S_CPPI.m
S_CallsProjectionPricing.m
S_CornishFisher.m
S_CorrelationPriorUniform.m
S_DerivativesInvariants.m
S_DisplayCopulaPDF.m
S_DisplayJumpDiffusionMerton.m
S_DisplayNormalCopulaCDF.m
S_DisplayNormalCopulaPDF.m
S_EMexampleHighYield.m
S_ESContributionsFacts.m
S_ESContributionsT.m
S_EVT.m
S_EigenvalueDispersion.m
S_EllipticalNDim.m
S_EntropyView.m
S_EquitiesInvariants.m
S_EquityProjectionPricing.m
S_EstimateMomentsComboEvaluat...
S_EstimateQuantileEvaluation.m
S_EvaluationGeneric.m
S_FXCopulaMarginal.m
S_FactorAnalysisNotOK.m
S_FactorResidualCorrelation.m
S_FitSwapToT.m
S_FixedIncomeInvariants.m
S_FoDHedgeOptions.m
S_FoDHorizonEffect.m
S_FullCodependence.m
S_GenerateMixtureSample.m
S_InvestorsObjective.m
S_LinVsLogReturn.m
S_LognormalSample.m
S_MLEbasics.m
S_MVBenchmark.m
S_MVCalls.m
S_MVCallsRobust.m
S_MVHorizon.m
S_MVOptimization.m
S_MaxMinVariance.m
S_MultiVarSqrRootRule.m
S_NonAnalytical.m
S_NormalSample.m
S_OptionReplication.m
S_OrderStatisticsPDFLogn.m
S_OrderStatisticsPDFStudentT.m
S_PasturMarchenko.m
S_ProjSummStats.m
S_ProjectNPriceMvGARCH.m
S_ResidualAnalysisTheory.m
S_SelectionHeuristicsFoD.m
S_SemiCircular.m
S_ShrinkageEstimators.m
S_StatArbSwaps.m
S_StudentTSample.m
S_SwapPCA2Dim.m
S_TStatApprox.m
S_Toeplitz.m
S_UtlityMax.m
S_VaRContributionsUniform.m
S_VolatilityClustering.m
S_Wishart.m
S_WishartCorrelation.m
S_WishartLocationDispersion.m
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Exercises in Advanced Risk and Portfolio Management

by Attilio Meucci

12 Aug 2009 (Updated 09 May 2011)

text and comments on solutions available at http://symmys.com/node/170

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Description	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
MATLAB release	MATLAB 7.8 (R2009a)

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27 Dec 2010	Justin Ceglar	Awesome, thank you
11 Nov 2011	Thomas	So useful, you just can't imagine

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Updates
03 May 2010	Added exercises
06 Jul 2010	Added new exercises
04 Aug 2010	Added random matrix theory Added dynamic strategies
09 May 2011	updated references

Tag Activity for this File
Tag	Applied By	Date/Time
finance	Attilio Meucci	13 Aug 2009 10:01:04
statistics	Attilio Meucci	13 Aug 2009 10:01:05
optimization	Attilio Meucci	13 Aug 2009 10:01:05
finance	Matt Cook	29 Oct 2009 00:57:36
meucci_exercisesriskportfoliomgmt10_estimationriska_generalchoic	Thomas Leirvik	16 Aug 2010 16:48:29
portfolio management	Attilio Meucci	10 May 2011 15:56:19
quantitative finance	Attilio Meucci	10 May 2011 15:56:19
risk management	Attilio Meucci	10 May 2011 15:56:19

Highlights from Exercises in Advanced Risk and Portfolio Management

Exercises in Advanced Risk and Portfolio Management

Highlights from
Exercises in Advanced Risk and Portfolio Management