Rank: 122 based on 1690 downloads (last 30 days) and 8 files submitted
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Attilio Meucci

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Bloomberg L.P.

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Files Posted by Attilio View all
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(last 30 days) 		Comments Rating
12 Aug 2009 Exercises in Advanced Risk and Portfolio Management text and comments on solutions available at http://ssrn.com/abstract=1447443 Author: Attilio Meucci finance, optimization, statistics 267 0
29 Jul 2009 Screenshot Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation Author: Attilio Meucci finance, statistics, statistical arbitrage 233 0
11 Jun 2009 Screenshot Simulations with Exact Means and Covariances Exact multivariate normal simulation Author: Attilio Meucci statistics, finance 185 0
10 Apr 2009 Screenshot Risk and Asset Allocation Software for quantitative portfolio and risk management Author: Attilio Meucci shrinkage, analysis, modeling, coherent ri, maximum likelihood, multivariate distribu... 385 13
  • 4.8
4.8 | 20 ratings
10 Apr 2009 Screenshot Estimation of Structured t-Copulas Simple recursive routine to estimate by maximum likelihood the correlation matrix and the degrees of Author: Attilio Meucci shrinkage, isotropy, analysis, modeling, structured correlatio..., estimationmaximizatio... 167 0
Comments and Ratings on Attilio's Files View all
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  • 21
Updated File Comment by Comments Rating
04 Jun 2009 Entropy Pooling: Fully Flexible Views and Stress-testing Full generalization of Black-Litterman and related techniques Author: Attilio Meucci Seven, Eddie

also evidently requires the stats toolbox for e.g. mvnrnd (or a 1 line rewrite using chol)
07 Aug 2008 Risk and Asset Allocation Software for quantitative portfolio and risk management Author: Attilio Meucci YANG, Haida

many thanks~~~
02 Jul 2008 Risk and Asset Allocation Software for quantitative portfolio and risk management Author: Attilio Meucci Boutros, Hany

Thanks
19 Mar 2008 Risk and Asset Allocation Software for quantitative portfolio and risk management Author: Attilio Meucci Marczis, David

26 Feb 2008 Risk and Asset Allocation Software for quantitative portfolio and risk management Author: Attilio Meucci Qiang, Chris

Top Tags Applied by Attilio
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finance, statistics, analysis, modeling, shrinkage
Files Tagged by Attilio View all
  • 1 - 5 of
  • 8
Updated   File Tags Downloads
(last 30 days) 		Comments Rating
12 Aug 2009 Exercises in Advanced Risk and Portfolio Management text and comments on solutions available at http://ssrn.com/abstract=1447443 Author: Attilio Meucci finance, optimization, statistics 267 0
29 Jul 2009 Screenshot Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation Author: Attilio Meucci finance, statistics, statistical arbitrage 233 0
11 Jun 2009 Screenshot Simulations with Exact Means and Covariances Exact multivariate normal simulation Author: Attilio Meucci statistics, finance 185 0
10 Apr 2009 Screenshot Risk and Asset Allocation Software for quantitative portfolio and risk management Author: Attilio Meucci shrinkage, analysis, modeling, coherent ri, maximum likelihood, multivariate distribu... 385 13
  • 4.8
4.8 | 20 ratings
10 Apr 2009 Screenshot Estimation of Structured t-Copulas Simple recursive routine to estimate by maximum likelihood the correlation matrix and the degrees of Author: Attilio Meucci shrinkage, isotropy, analysis, modeling, structured correlatio..., estimationmaximizatio... 167 0
 

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