Exercises in Advanced Risk and Portfolio Management: G_Hat_e(X) - File Exchange

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

E=TwoDimEllipsoid(Location,Sq... this function computes the location-dispersion ellipsoid

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

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

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

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)

ka=Raw2Cumul(mu_)

mu=Raw2Central(mu_) code to map raw moments into central 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

Highlights from Exercises in Advanced Risk and Portfolio Management

Highlights from
Exercises in Advanced Risk and Portfolio Management