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updated 1 month ago

Portfolio Diversi…cation Based on Optimized Uncorrelated Factors by Attilio Meucci

Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution (portfolio management, risk management, marginal risk contrib...)

EffectiveBets(b, Sigma, t)

torsion(Sigma, model, method, max_niter)

S_MainDiversification.m

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updated 8 months ago

Semideviation by Abdulaziz Alhouti

Estimates the downside and upside deviations (finance, investment, statistics)

[LowerSTD UpperSTD]=semistd(x)

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updated 10 months ago

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

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 1 year ago

A Fully Integrated Liquidity and Market Risk Model by Attilio Meucci

Conditional convolution algorithm to blend market risk and liquidity risk (risk management, portfolio management, liquidity risk)

S_Main.m

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updated almost 2 years ago

Treynor-Black portfolio management model by Ben

Treynor-Black portfolio management model (portfolio management, optimization, active)

[pct_w_pos_opti beta_pos_opti pct_w_active measures_port ...

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updated 3 years ago

Copula-Marginal Algorithm (CMA) by Attilio Meucci

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 3 years ago

Visualizing the Propagation of Risk by Attilio Meucci

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 3 years ago

Robust Bayesian Allocation by Attilio Meucci

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 3 years ago

Review of Discrete and Continuous Processes in Finance by Attilio Meucci

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 3 years ago

Managing Diversification by Attilio Meucci

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 3 years ago

Estimation of Structured t-Copulas by Attilio Meucci

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 3 years ago

Simulations with Exact Means and Covariances by Attilio Meucci

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

X=MvnRnd(M,S,J)

S_Test.m

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updated 3 years ago

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

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 3 years ago

Fully Flexible Extreme Views by Attilio Meucci

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 3 years ago

Factors on Demand by Attilio Meucci

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 3 years ago

Review of Dynamic Allocation Strategies by Attilio Meucci

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 3 years ago

Exercises in Advanced Risk and Portfolio Management by Attilio Meucci

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 3 years ago

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

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 3 years ago

Historical Scenarios with Fully Flexible Probabilities by Attilio Meucci

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 3 years ago

Fully Flexible Bayesian Networks by Attilio Meucci

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 3 years ago

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

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 3 years ago

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

"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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updated 4 years ago

FinMetrics by Vitaly Kuznetsov

Open source/open architecture quantitative portfolio management environment. (finance, investments, portfolio management)

fm(varargin)

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