Risk and Asset Allocation

Software for quantitative portfolio and risk management

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)

[anonymus anonymus]

Excelent source of free knowlegde!

[Mukhtar Ahmad]

greatly helpful

[Dimitri Shvorob]

An amazing book, and extremely useful and user-friendly code. Thank you.

[dong song]

 

[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.

[Alina Iorgulescu]

 

[Janson Chen]

 Excellent

[Enrique M. Quilis]

Very useful and complete.

[Alexandros Benos]

 

[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.

[Atilla Cifter]

Very useful

[Eugene Babaitsev]

Very nice for illustrative purposes.

[Rodrigo Dupleich]

very good Book and code is illustrative!! thanks.

[udo Zong]

 

[leo SONG]

 

[Roman Litvinov]

very useful. thanks

[Chris Qiang]

 

[David Marczis]

 

[Hany Boutros]

Thanks

[Haida YANG]

many thanks~~~