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Risk and Asset Allocation

by Attilio Meucci

 

16 Nov 2005 (Updated 10 Apr 2009)

Code covered by the BSD License  

Software for quantitative portfolio and risk management

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Description

These routines support the book "Risk and Asset Allocation" Springer Finance, by A. Meucci, see http://www.symmys.com

The routines include many new features:
- more uni-, multi- and matrix-variate distributions
- more copulas
- more graphical representations
- more analyses in terms of the location-dispersion ellipsoid.
- best replication / best factor selection
- FFT-based projection of a distribution to the investment horizon
- caveats about delta/gamma pricing
- step-by-step evaluation of a generic estimator
- non-parametric estimators
- multivariate elliptical maximum-likelihood estimators
- shrinkage estimators: Stein and Ledoit-Wolf, Bayesian classical equivalent
- robust estimators: Hubert M, high-breakdown minimum volume ellipsoid
- missing-data techniques: EM algorithm, uneven-series conditional estimation
- stochastic dominance
- extreme value theory for VaR
- Cornish-Fisher approximation for VaR
- kernel-based contribution to VaR and expected shortfall from different risk-factors
- mean-variance analysis and pitfalls (different horizons, compounded vs. linear returns, etc...)
- Bayesian estimation (multivariate analytical, Monte Carlo Markov Chains, priors for correlation matrices)
- estimation risk evaluation: opportunity cost of estimation-based allocations
- Black Litterman allocation
- robust optimization (calls SeDuMi to perform cone programming)
- robust Bayesian allocation
- more...
In addition to these MATLAB routines, at www.symmys.com the reader can find other freely downloadable complementary materials:
- the "Technical Appendices", a booklet with the proofs of the results presented in the books and used in the routines
- the "Slides", a set of presentations that walk the reader through the whole book
- the "Errata", a few typos in the first two reprints of the book
- the "Sample", an excerpt of the book.
Any feedback on the above materials is highly appreciated: please refer to www.symmys.com to contact the author.
Required Products Optimization Toolbox
Statistics Toolbox
MATLAB release MATLAB 6.0 (R12)
Zip File Content  
Other Files
AMeucciRiskandAssetAllocationRoutines/Ch1_UniVariateDistributions/S_Gamma.m,
AMeucciRiskandAssetAllocationRoutines/Ch1_UniVariateDistributions/S_GammaCdf.m,
AMeucciRiskandAssetAllocationRoutines/Ch1_UniVariateDistributions/S_Lognormal.m,
AMeucciRiskandAssetAllocationRoutines/Ch1_UniVariateDistributions/S_Normal.m,
AMeucciRiskandAssetAllocationRoutines/Ch1_UniVariateDistributions/S_QuantileNormalMixture.m,
AMeucciRiskandAssetAllocationRoutines/Ch1_UniVariateDistributions/S_Regularization.m,
AMeucciRiskandAssetAllocationRoutines/Ch1_UniVariateDistributions/S_SimulationsVsAnalytical.m,
AMeucciRiskandAssetAllocationRoutines/Ch1_UniVariateDistributions/S_StudentT.m,
AMeucciRiskandAssetAllocationRoutines/Ch1_UniVariateDistributions/S_Uniform.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Cdf/BivStandardTPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Cdf/S_NormalCDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Cdf/S_TCDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Pdf/LognormalPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Pdf/LogTPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Pdf/NormalPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Pdf/S_DisplayLognormalPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Pdf/S_DisplayLogTPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Pdf/S_DisplayNormalPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Pdf/S_DisplayTPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Pdf/S_DisplayUniformPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Pdf/S_DisplayWishartPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Pdf/S_OrderStatisticsPDFCentralGamma.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Pdf/S_OrderStatisticsPDFLogn.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Pdf/S_OrderStatisticsPDFStudentT.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Pdf/StudentTPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Pdf/UniformEllipticalPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Pdf/WishartPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/Elliptical/S_Elliptical2Dim.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/Elliptical/S_Elliptical3Dim.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/Elliptical/S_EllipticalNDim.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/Elliptical/S_SphericallySymmetric.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/Elliptical/S_UniformEllipsoid.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/Elliptical/S_UniformEllipsoid2.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/S_LogNormal.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/S_LogT.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/S_Normal.asv,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/S_Normal.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/S_NormalMatrix.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/S_OrderStatistics.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/S_StudentT.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/S_Uniform.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/S_Wishart.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/A_pdf/LognormalCopulaPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/A_pdf/LogTCopulaPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/A_pdf/NormalCopulaPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/A_pdf/S_DisplayCopulaPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/A_pdf/TCopulaPDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/B_cdf/NormalCopulaCDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/B_cdf/S_DisplayCopulaCDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/B_cdf/TCopulaCDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/C_Simulations/S_GenericCopula.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/C_Simulations/S_LognormalCopulaSimul.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/C_Simulations/S_LogTCopulaSimul.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/C_Simulations/S_NormalCopulaSimul.asv,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/C_Simulations/S_NormalCopulaSimul.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/C_Simulations/S_TCopulaSimul.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/C_Simulations/S_WishartCopulaSimul.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/D_DependenceStatistics/NormalCopulaCDF.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/D_DependenceStatistics/S_KendallTau.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/D_DependenceStatistics/S_SpearmanRho.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/S_CopulaMarginalDecomposition.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/S_Grades.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/C_LocationDispersion/LogNormalParam2Statistics.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/C_LocationDispersion/S_AnalyzeLognormalCorrelation.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/C_LocationDispersion/S_AnalyzeNormalCorrelation.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/C_LocationDispersion/S_EllipsoidGeometryVsStatistics.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/C_LocationDispersion/S_EllipsoidLogNormal.asv,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/C_LocationDispersion/S_EllipsoidLogNormal.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/C_LocationDispersion/S_EllipsoidNormal.asv,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/C_LocationDispersion/S_EllipsoidNormal.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/C_LocationDispersion/S_EquivarianceLogNormal.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/C_LocationDispersion/S_EquivarianceNormal.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/C_LocationDispersion/S_NoEquivarianceMedian.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/C_LocationDispersion/TwoDimEllipsoid.m,
AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/S_SimulationsVsAnalytical.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/A_InvarianceQuest/DB_Equities.mat,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/A_InvarianceQuest/DB_FixedIncome.mat,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/A_InvarianceQuest/DB_Swaptions.mat,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/A_InvarianceQuest/DB_VIX.mat,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/A_InvarianceQuest/IIDAnalysis.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/A_InvarianceQuest/ProcessDB.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/A_InvarianceQuest/S_BondPrices.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/A_InvarianceQuest/S_EquitiesInvariants.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/A_InvarianceQuest/S_FixedIncomeInvariants.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/A_InvarianceQuest/S_OptionsInvariants.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/A_InvarianceQuest/S_SwaptionsInvariants.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/A_InvarianceQuest/TwoDimEllipsoid.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/B_HorizonProjection/S_Projection_Beta.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/B_HorizonProjection/S_Projection_Gamma.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/B_HorizonProjection/S_Projection_Lognormal.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/B_HorizonProjection/S_Projection_NonParam.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/B_HorizonProjection/S_Projection_T.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/C_DimensionReduction/DatabaseStocks.mat,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/C_DimensionReduction/R2.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/C_DimensionReduction/S_PCA2Dim.asv,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/C_DimensionReduction/S_PCA2Dim.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/C_DimensionReduction/S_PCA3Dim.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/C_DimensionReduction/S_PCAvsRegression.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/C_DimensionReduction/S_Regression2Dim.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/C_DimensionReduction/S_Regression3Dim.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/C_DimensionReduction/S_SelectFactors.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/C_DimensionReduction/TwoDimEllipsoid.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/D_Pricing/S_PricingAnyOrder.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/D_Pricing/S_PricingCallOption.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/E_CaseStudySwap/DB_SwapCurve.mat,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/E_CaseStudySwap/FitError.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/E_CaseStudySwap/S_CaseStudyPCAEmprical.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/E_CaseStudySwap/S_CaseStudyPCALimitContinuum.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/E_CaseStudySwap/S_CaseStudySwapDistribution.m,
AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/Thumbs.db,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/A_Introduction/G_Hat_1.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/A_Introduction/G_Hat_2.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/A_Introduction/S_EstimateExpectedValueEvaluation.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/A_Introduction/Thumbs.db,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/B_NonParametric/S_KernelQuantile.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/B_NonParametric/S_OLS.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/B_NonParametric/S_SampleMeanCov.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/B_NonParametric/Thumbs.db,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/B_NonParametric/TwoDimEllipsoid.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/A_UnivariateNormal/PlotEstimatorStressTest.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/A_UnivariateNormal/S_StressNormalMu.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/A_UnivariateNormal/S_StressNormalSigma.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/B_UnivariateLognormal/PlotEstimatorStressTest.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/B_UnivariateLognormal/S_StressLognormalMu.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/B_UnivariateLognormal/S_StressLognormalSigma.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/C_MultivariateNormal/NormalMLE.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/C_MultivariateNormal/PlotEstimatorStressTest.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/C_MultivariateNormal/S_StressCorrelation.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/D_MultivariateT/LogLik.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/D_MultivariateT/MleRecursionForT.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/D_MultivariateT/PlotEstimatorStressTest.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/D_MultivariateT/S_DisplayMleRecursionForT.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/D_MultivariateT/S_StressCorrelation.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/D_MultivariateT/StudentMLE.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/Thumbs.db,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/D_Shrinkage/PlotEstimatorStressTest.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/D_Shrinkage/S_EigenvalueDispersion.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/D_Shrinkage/S_ShrinkageEstimators.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/D_Shrinkage/S_StressCorrelation.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/D_Shrinkage/ShrinkLocationDispersion.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/D_Shrinkage/Thumbs.db,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/A_Intro/S_DisplayRobustness.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/A_Intro/TwoDimEllipsoid.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/B_HubertM/HubertM.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/B_HubertM/OutlierCutoff.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/B_HubertM/PlotEstimatorStressTest.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/B_HubertM/S_DisplayRobustness.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/B_HubertM/S_StressCorrelation.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/B_HubertM/TempDB_StressCorrelation.mat,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/B_HubertM/TwoDimEllipsoid.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/C_HighBreakDown/ComputeMVE.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/C_HighBreakDown/RejectOutlier.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/C_HighBreakDown/S_HighBreakdownMVE.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/C_HighBreakDown/TwoDimEllipsoid.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/F_MissingData/EM.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/F_MissingData/S_MissingValuesEM.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/F_MissingData/S_UnevenSeries.m,
AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/F_MissingData/UnevenSeriesEstimator.m,
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AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/A_StochasticDominance/S_StochasticDominanceNormNorm.m,
AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/A_StochasticDominance/S_StochasticDominanceNormT.m,
AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/A_StochasticDominance/S_StochasticDominanceUniBiModal.m,
AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/B_ExpectedUtility/S_ExponentialUtil_is_TranslInvariant.m,
AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/B_ExpectedUtility/S_PowerUtil_ContributionsToSatisfaction.m,
AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/B_ExpectedUtility/S_PowerUtil_is_Homogeneous.m,
AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/B_ExpectedUtility/S_ProspectTheory_isnot_Concave.m,
AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/C_ValueAtRisk/S_CornishFisher.m,
AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/C_ValueAtRisk/S_EVT.m,
AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/C_ValueAtRisk/S_VaR_is_HomogNotConcave.m,
AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/C_ValueAtRisk/S_VaRContributions.m,
AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/C_ValueAtRisk/S_VaRContributions_TdistrMarket.m,
AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/D_ExpectedShortfall/S_ES_Contributions.m,
AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/D_ExpectedShortfall/S_ES_is_HomogConcave.m,
AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/Thumbs.db,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/A_AnalyticalExample/ChoiceOptimal.m,
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AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/A_AnalyticalExample/ComputeFrontier.m,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/A_AnalyticalExample/S_LeadingExample.m,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/A_AnalyticalExample/S_SatisfactionVsCorrelation.m,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/A_AnalyticalExample/Satisfaction.m,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/A_AnalyticalExample/Thumbs.db,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/B_MeanVarianceFramework/Analytitcal/ComputeFrontier.m,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/B_MeanVarianceFramework/Analytitcal/EfficientFrontier.m,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/B_MeanVarianceFramework/Analytitcal/S_AffineConstraint.m,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/B_MeanVarianceFramework/Analytitcal/S_DiversificationCorrelation.m,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/B_MeanVarianceFramework/Analytitcal/S_DiversificationNumAssets.m,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/B_MeanVarianceFramework/Analytitcal/Thumbs.db,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/B_MeanVarianceFramework/Generic/EfficientFrontier.m,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/B_MeanVarianceFramework/Generic/Log2Lin.m,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/B_MeanVarianceFramework/Generic/S_DifferentHorizons.m,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/B_MeanVarianceFramework/Generic/S_PricesVsReturns.m,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/B_MeanVarianceFramework/Generic/Thumbs.db,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/B_MeanVarianceFramework/Thumbs.db,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/C_TotalReturnVsBenchmark/EfficientFrontierNoConstr.m,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/C_TotalReturnVsBenchmark/PlotTotalRetsVsRelativeRets.m,
AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/C_TotalReturnVsBenchmark/S_TotalRetsVsRelativeRets.m,
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Comments and Ratings (20)
17 Jun 2006 anonymus anonymus

Excelent source of free knowlegde!

12 Oct 2006 Mukhtar Ahmad

greatly helpful
11 Jan 2007 Dimitri Shvorob

An amazing book, and extremely useful and user-friendly code. Thank you.
07 Mar 2007 dong song  
19 Mar 2007 Bhaskar Sinha

one of the few COMPLETE book in asset allocation, exaustive and stimulating. a dream for a researcher !!! you NEED this if you really serious.

04 Apr 2007 Alina Iorgulescu  
16 Apr 2007 Janson Chen

 Excellent
07 Jun 2007 Enrique M. Quilis

Very useful and complete.
11 Jun 2007 Alexandros Benos  
21 Jun 2007 Matteo Candolfini

An excellent piece of work!
Highly recommended.
It gives us the BIG PICTURE (and much of the details) of asset allocation and statistics.
30 Jul 2007 Atilla Cifter

Very useful
30 Jul 2007 Eugene Babaitsev

Very nice for illustrative purposes.
03 Aug 2007 Rodrigo Dupleich

very good Book and code is illustrative!! thanks.
19 Oct 2007 udo Zong  
28 Jan 2008 leo SONG  
17 Feb 2008 Roman Litvinov

very useful. thanks
26 Feb 2008 Chris Qiang  
19 Mar 2008 David Marczis  
02 Jul 2008 Hany Boutros

Thanks
07 Aug 2008 Haida YANG

many thanks~~~
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Updates
21 Jun 2007

fixed bug
10 Apr 2009

updated documentation link
Tag Activity for this File
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finance Attilio Meucci 22 Oct 2008 08:06:38
modeling Attilio Meucci 22 Oct 2008 08:06:38
analysis Attilio Meucci 22 Oct 2008 08:06:38
multivariate distributions Attilio Meucci 22 Oct 2008 08:06:38
coherent ri Attilio Meucci 22 Oct 2008 08:06:38
shrinkage Attilio Meucci 22 Oct 2008 08:06:38
maximum likelihood Attilio Meucci 22 Oct 2008 08:06:38
modeling Mikhail 11 Dec 2009 13:48:47
 

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