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Risk and Asset Allocation

version 1.1 (6.64 MB) by

Software for quantitative portfolio and risk management

4.80952
21 Ratings

52 Downloads

Updated

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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.

Comments and Ratings (21)

omer ozeren

Excelent source for Quants..

Haida YANG

many thanks~~~

Hany Boutros

Thanks

David Marczis

Chris Qiang

Roman Litvinov

very useful. thanks

leo SONG

udo Zong

Rodrigo Dupleich

very good Book and code is illustrative!! thanks.

Eugene Babaitsev

Very nice for illustrative purposes.

Atilla Cifter

Very useful

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.

Alexandros Benos

Enrique M. Quilis

Very useful and complete.

Janson Chen

 Excellent

Alina Iorgulescu

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.

dong song

Dimitri Shvorob

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

Mukhtar Ahmad

greatly helpful

anonymus anonymus

Excelent source of free knowlegde!

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1.1

updated documentation link

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AMeucciRiskandAssetAllocationRoutines/Ch1_UniVariateDistributions/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Cdf/

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AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/Elliptical/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/

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AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/B_cdf/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/C_Simulations/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/D_DependenceStatistics/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/C_LocationDispersion/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/

AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/A_InvarianceQuest/

AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/B_HorizonProjection/

AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/C_DimensionReduction/

AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/D_Pricing/

AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/E_CaseStudySwap/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/A_Introduction/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/B_NonParametric/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/A_UnivariateNormal/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/B_UnivariateLognormal/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/C_MultivariateNormal/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/D_MultivariateT/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/D_Shrinkage/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/A_Intro/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/B_HubertM/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/C_HighBreakDown/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/F_MissingData/

AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/A_StochasticDominance/

AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/B_ExpectedUtility/

AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/C_ValueAtRisk/

AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/D_ExpectedShortfall/

AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/A_AnalyticalExample/

AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/B_MeanVarianceFramework/Analytitcal/

AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/B_MeanVarianceFramework/Generic/

AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/C_TotalReturnVsBenchmark/

AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/D_CaseStudy/

AMeucciRiskandAssetAllocationRoutines/Ch7_BayesianEstimation/

AMeucciRiskandAssetAllocationRoutines/Ch8_EvalEstimationRisk/A_EvaluationGeneric/

AMeucciRiskandAssetAllocationRoutines/Ch8_EvalEstimationRisk/B_PriorAllocation/

AMeucciRiskandAssetAllocationRoutines/Ch8_EvalEstimationRisk/C_SampleBasedAllocation/

AMeucciRiskandAssetAllocationRoutines/Ch9_OptimEstimationRisk/A_BayesAllocation/

AMeucciRiskandAssetAllocationRoutines/Ch9_OptimEstimationRisk/B_BlackLittAllocation/

AMeucciRiskandAssetAllocationRoutines/Ch9_OptimEstimationRisk/C_RobustAllocation/

AMeucciRiskandAssetAllocationRoutines/Ch9_OptimEstimationRisk/C_RobustAllocation/SeDuMi_1_1/

AMeucciRiskandAssetAllocationRoutines/Ch9_OptimEstimationRisk/D_RobustBayesAllocation/

AMeucciRiskandAssetAllocationRoutines/Ch9_OptimEstimationRisk/

AMeucciRiskandAssetAllocationRoutines/Extras/COP/

AMeucciRiskandAssetAllocationRoutines/Extras/IntroMATLAB/