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updated 6 months ago

Monte Carlo simulation example using MATLAB (with comments) by Raza88

Raza88 (view profile)

A simple Monte Carlo simulation example with detailed comments (simulation, random, monte carlo)

MonteCarlo_CNTower.m

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updated 7 months ago

optimal_weights.m by Christopher

Portfolio allocation with higher order moments under mean-variance, exponential, power utilities (higher order comoment..., portfolio asset alloc..., optimal portfolio wei...)

optimal_weights.m

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updated 1 year ago

Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes by Attilio Meucci

Attilio Meucci (view profile)

Inverse Call Transformation to compute shadow rates (portfolio management, risk management, quantitative finance)

InverseCallTransformation(rates, tau, eta, zeta)

S_AnalyzeJGBrates.m

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updated almost 2 years ago

Merton Structural Credit Model (Matrixwise Solver) by Mark Whirdy

Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery (credit, merton, structural credit mod...)

calcMertonModel(E_t,sig_E,K,t,T,r)

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updated 3 years ago

Copula-Marginal Algorithm (CMA) by Attilio Meucci

Attilio Meucci (view profile)

Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management (portfolio management, risk management, quantitative finance)

EntropyProg(p,A,b,Aeq,beq)

X=CMAcombination(x,u,U)

X=MvnRnd(M,S,J)

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updated almost 4 years ago

Visualizing the Propagation of Risk by Attilio Meucci

Attilio Meucci (view profile)

Square-root rule diffusion for location-dispersion ellipsoid (financial engineering, portfolio management, quantitative finance)

h=TwoDimEllipsoid(Location,Square_Dispersion,Scale,PlotEi...

S_MultivarPropagation.m

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updated almost 4 years ago

Robust Bayesian Allocation by Attilio Meucci

Attilio Meucci (view profile)

portofolio optimization that controls for estimation risk (finance, portfolio management, quantitative finance)

EfficientFrontier(NumPortf, Covariance, ExpectedValues)

MainSectorsSnP.m

S_SimulationsCaseStudy.m

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updated almost 4 years ago

Review of Discrete and Continuous Processes in Finance by Attilio Meucci

Attilio Meucci (view profile)

discrete-time and continuous-time processes for finance, theory and empirical examples (finance, statistics, portfolio management)

AnalyzePersistence(Data,AggregationPersistence,LagsSamplA...

AnalyzeVarianceAggregation(Dates,Data,AggregationVariance...

Data=FilterJumps(Dates,Data,Name)

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updated almost 4 years ago

Managing Diversification by Attilio Meucci

Attilio Meucci (view profile)

Entropy-based mean-diversification efficient frontier (portfolio management, financial engineering, quantitative finance)

GenFirstEigVect(S,A)

MaxEntropy(G,w_b,w_0,Constr)

[E,L,G]=GenPCBasis(S,A)

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updated almost 4 years ago

Estimation of Structured t-Copulas by Attilio Meucci

Attilio Meucci (view profile)

Recursive routine to estimate structured correlation matrix and degrees of freedom (finance, modeling, analysis)

LogLik(x,Nu,Sigma)

MleRecursionForT(x,Nu,K,Tolerance)

[Nu,C]=StrucTMLE(X,K,Tolerance)

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updated almost 4 years ago

Simulations with Exact Means and Covariances by Attilio Meucci

Attilio Meucci (view profile)

Exact multivariate normal simulation (finance, statistics, portfolio management)

X=MvnRnd(M,S,J)

S_Test.m

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updated almost 4 years ago

Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck by Attilio Meucci

Attilio Meucci (view profile)

Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation (finance, statistics, statistical arbitrage)

AnimateTrajectory(x,y,z)

[Mu,Th,Sig]=FitOU(Y,tau)

[Mu_t,Sig_t]=ProjectOU(x_0,t,Mu,Th,Sig)

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updated almost 4 years ago

Fully Flexible Extreme Views by Attilio Meucci

Attilio Meucci (view profile)

Entropy Pooling for extreme views on CVaR (finance, statistics, portfolio management)

Prior2Posterior(M, Q, M_Q, S, G, S_G)

gaussHermiteMesh(J)

hermitePolynomial(n)

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updated almost 4 years ago

Factors on Demand by Attilio Meucci

Attilio Meucci (view profile)

Proper implementation of factor models: bottom-up estimation, top-down attribution (finance, statistics, portfolio management)

BlackScholesCall(spot,K,r,vol,T)

ComputeCrossCorrelation(Y_F, Y_Z, Corr_Y_F)

DisplayCumumlBars(C)

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updated almost 4 years ago

Review of Dynamic Allocation Strategies by Attilio Meucci

Attilio Meucci (view profile)

Convex versus Concave Management, CPPI, OBPI, portfolio insurance, etc. (finance, statistics, portfolio management)

D=Delta(Time_to_Maturity,Stock_Value,Stock_Volatility,Str...

K=Solve4Strike(Strike,Time_to_Maturity,Stock_Value,Stock_...

S_Main.m

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updated almost 4 years ago

Exercises in Advanced Risk and Portfolio Management by Attilio Meucci

Attilio Meucci (view profile)

text and comments on solutions available at http://symmys.com/node/170 (finance, statistics, optimization)

BlackScholesCall(spot,K,r,vol,T)

BlackScholesCall(spot,K,r,vol,T)

ChoiceOptimal(Market,InvestorProfile)

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updated almost 4 years ago

Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics by Attilio Meucci

Attilio Meucci (view profile)

Higher moments at any horizon (quantitative finance, portfolio management, risk management)

[ga,mu]=SummStats(X,N)

ka=Raw2Cumul(mu_)

mu=Raw2Central(mu_)

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updated almost 4 years ago

Historical Scenarios with Fully Flexible Probabilities by Attilio Meucci

Attilio Meucci (view profile)

State- and time-dependent risk management through Entropy Pooling (quantitative finance, portfolio management, risk management)

C=CallPrice(P, K, r, t, s)

EntropyProg(p,A,b,Aeq,beq)

[m,S]=DoubleDecay(X,lmd_c,lmd_s)

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updated almost 4 years ago

Fully Flexible Bayesian Networks by Attilio Meucci

Attilio Meucci (view profile)

Specification of conditional probabilities with minimal information through Entropy Pooling (quantitative finance, portfolio management, risk management)

ComputeMoments.m

EntropyProg(p,A,b,Aeq,beq)

[A,b,g]=CondProbViews(View,X)

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updated almost 4 years ago

Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management by Attilio Meucci

Attilio Meucci (view profile)

Compounded returns for projection/estimation Linear returns for portfolio aggregation (quantitative finance, portfolio management, risk management)

EfficientFrontier(NumPortf, Covariance, ExpectedValues)

[M,S]=Log2Lin(Mu,Sigma)

S_FrontierAtDifferentHorizons.m

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updated almost 4 years ago

Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects by Attilio Meucci

Attilio Meucci (view profile)

"Beta" not just the CAPM, "Beta" not on log-returns (quantitative finance, portfolio management, risk management)

FlexM(returns,demean,eps,df)

XXX=minfro(A);

[q,qerr,hf,hferr]=garch1f4(x,eps,df)

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