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)

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,PlotEigV...

S_MultivarPropagation.m

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

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,LagsSamplAut...

AnalyzeVarianceAggregation(Dates,Data,AggregationVariance,A...

Data=FilterJumps(Dates,Data,Name)

Managing Diversification by Attilio Meucci

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

GenFirstEigVect(S,A)

MaxEntropy(G,w_b,w_0,Constr)

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

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)

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

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)

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)

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)

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,Strik...

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

S_Main.m

Exercises in Advanced Risk and Portfolio Management by Attilio Meucci

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

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

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

ChoiceOptimal(Market,InvestorProfile)

Fully Flexible Views and Stress-testing by Attilio Meucci

Full generalization of Black-Litterman and related techniques via entropy pooling (blacklitterman, analysis, finance)

CVaR=ComputeCVaR(Units,Scenarios,Conf)

Constr=SetUpConstraints(Securities);

EfficientFrontier(X,p, Options);

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_)

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)

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)

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

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)

Risk and Asset Allocation by Attilio Meucci

Software for quantitative portfolio and risk management (value at risk, modeling, analysis)

...

Addition(x,y);

Adendotd(dense, d, sparAd, Ablk, blkstart)

Using MATLAB to Develop Portfolio Optimization Models by Bob Taylor

Scripts to create time-evolving efficient frontiers and to backtest results. (analysis, portfolio, optimization)

[DateHistory, RetHistory, PortHistory, X, Y, Z ] ...

ecmninit(Data, InitMethod)

ecmnmle(Data, InitMethod, MaxIter, Tolerance, Mean0, Covar0...