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Risk and Asset Allocation

4.8 | 21 ratings Rate this file 100 Downloads (last 30 days) File Size: 6.64 MB File ID: #9061 Version: 1.1
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Risk and Asset Allocation



16 Nov 2005 (Updated )

Software for quantitative portfolio and risk management

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These routines support the book "Risk and Asset Allocation" Springer Finance, by A. Meucci, see

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 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 to contact the author.

Required Products Optimization Toolbox
Statistics and Machine Learning Toolbox
MATLAB release MATLAB 6.0 (R12)
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Comments and Ratings (21)
17 Jun 2014 omer ozeren

Excelent source for Quants..

07 Aug 2008 Haida YANG

many thanks~~~

02 Jul 2008 Hany Boutros


19 Mar 2008 David Marczis

26 Feb 2008 Chris Qiang

17 Feb 2008 Roman Litvinov

very useful. thanks

28 Jan 2008 leo SONG

19 Oct 2007 udo Zong

03 Aug 2007 Rodrigo Dupleich

very good Book and code is illustrative!! thanks.

30 Jul 2007 Eugene Babaitsev

Very nice for illustrative purposes.

30 Jul 2007 Atilla Cifter

Very useful

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.

11 Jun 2007 Alexandros Benos

07 Jun 2007 Enrique M. Quilis

Very useful and complete.

16 Apr 2007 Janson Chen


04 Apr 2007 Alina Iorgulescu

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.

07 Mar 2007 dong song

11 Jan 2007 Dimitri Shvorob

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

12 Oct 2006 Mukhtar Ahmad

greatly helpful

17 Jun 2006 anonymus anonymus

Excelent source of free knowlegde!

10 Apr 2009 1.1

updated documentation link

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