Statistics
22 Files
RANK
N/A
of 284,623
REPUTATION
N/A
CONTRIBUTIONS
0 Questions
0 Answers
ANSWER ACCEPTANCE
0.00%
VOTES RECEIVED
0
RANK
83 of 19,219
REPUTATION
11,647
AVERAGE RATING
4.50
CONTRIBUTIONS
22 Files
DOWNLOADS
62
ALL TIME DOWNLOADS
115052
RANK
126,040
of 137,392
CONTRIBUTIONS
0 Problems
0 Solutions
SCORE
0
NUMBER OF BADGES
0
CONTRIBUTIONS
0 Posts
CONTRIBUTIONS
0 Public Channels
AVERAGE RATING
CONTRIBUTIONS
0 Highlights
AVERAGE NO. OF LIKES
Content Feed
Submitted
Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes
Inverse Call Transformation to compute shadow rates
8 years ago | 3 downloads |

Submitted
Portfolio Diversi cation Based on Optimized Uncorrelated Factors
Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution
9 years ago | 3 downloads |

Submitted
A Fully Integrated Liquidity and Market Risk Model
Conditional convolution algorithm to blend market risk and liquidity risk
10 years ago | 1 download |

Submitted
Copula-Marginal Algorithm (CMA)
Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management
12 years ago | 4 downloads |

Submitted
Visualizing the Propagation of Risk
Square-root rule diffusion for location-dispersion ellipsoid
12 years ago | 1 download |

Submitted
Robust Bayesian Allocation
portofolio optimization that controls for estimation risk
12 years ago | 3 downloads |

Submitted
Review of Discrete and Continuous Processes in Finance
discrete-time and continuous-time processes for finance, theory and empirical examples
12 years ago | 3 downloads |

Submitted
Managing Diversification
Entropy-based mean-diversification efficient frontier
12 years ago | 1 download |

Submitted
Estimation of Structured t-Copulas
Recursive routine to estimate structured correlation matrix and degrees of freedom
12 years ago | 1 download |
Submitted
Simulations with Exact Means and Covariances
Exact multivariate normal simulation
12 years ago | 1 download |

Submitted
Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation
12 years ago | 1 download |

Submitted
Fully Flexible Extreme Views
Entropy Pooling for extreme views on CVaR
12 years ago | 1 download |

Submitted
Factors on Demand
Proper implementation of factor models: bottom-up estimation, top-down attribution
12 years ago | 1 download |

Submitted
Review of Dynamic Allocation Strategies
Convex versus Concave Management, CPPI, OBPI, portfolio insurance, etc.
12 years ago | 4 downloads |

Submitted
Exercises in Advanced Risk and Portfolio Management
text and comments on solutions available at http://symmys.com/node/170
12 years ago | 3 downloads |
Submitted
Fully Flexible Views and Stress-testing
Full generalization of Black-Litterman and related techniques via entropy pooling
12 years ago | 1 download |

Submitted
Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics
Higher moments at any horizon
12 years ago | 3 downloads |

Submitted
Historical Scenarios with Fully Flexible Probabilities
State- and time-dependent risk management through Entropy Pooling
12 years ago | 2 downloads |

Submitted
Fully Flexible Bayesian Networks
Specification of conditional probabilities with minimal information through Entropy Pooling
12 years ago | 1 download |

Submitted
Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management
Compounded returns for projection/estimation Linear returns for portfolio aggregation
12 years ago | 2 downloads |

Submitted
Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects
"Beta" not just the CAPM, "Beta" not on log-returns
12 years ago | 1 download |

Submitted
Risk and Asset Allocation
Software for quantitative portfolio and risk management
14 years ago | 19 downloads |
