| Files Matching Aleksander's Watch List |
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| 19 Nov 2012 |
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Matrix Decomposition Positive definite correlation matrix based on spectral decomposition. Now both for .m, C and Mex
Author: Aleksander |
spectral decompositio..., cholesky decompositio..., correlation matrix, positive definite, cholesky, decomposition |
13 |
3 |
5.0 |
1 rating
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| 09 Sep 2011 |
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Copula-Marginal Algorithm (CMA) Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management
Author: Attilio Meucci |
portfolio management, risk management, quantitative finance, statistics |
41 |
0 |
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| 12 May 2011 |
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Visualizing the Propagation of Risk Square-root rule diffusion for location-dispersion ellipsoid
Author: Attilio Meucci |
financial engineering, portfolio management, quantitative finance, risk management, statistics |
16 |
0 |
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| 12 May 2011 |
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Robust Bayesian Allocation portofolio optimization that controls for estimation risk
Author: Attilio Meucci |
finance, portfolio management, quantitative finance, risk management, statistics, arpm attendee |
17 |
2 |
5.0 |
2 ratings
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| 09 May 2011 |
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Review of Discrete and Continuous Processes in Finance discrete-time and continuous-time processes for finance, theory and empirical examples
Author: Attilio Meucci |
finance, statistics, portfolio management, quantitative finance, risk management |
40 |
0 |
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