Community Profile

Attilio Meucci


www.symmys.com

22 total contributions since 2011

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Contributions in
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Submitted


Risk and Asset Allocation
Software for quantitative portfolio and risk management

5 months ago | 52 downloads |

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Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes
Inverse Call Transformation to compute shadow rates

2 years ago | 2 downloads |

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Portfolio Diversi…cation Based on Optimized Uncorrelated Factors
Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution

4 years ago | 9 downloads |

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A Fully Integrated Liquidity and Market Risk Model
Conditional convolution algorithm to blend market risk and liquidity risk

5 years ago | 15 downloads |

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Copula-Marginal Algorithm (CMA)
Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management

7 years ago | 7 downloads |

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Visualizing the Propagation of Risk
Square-root rule diffusion for location-dispersion ellipsoid

7 years ago | 1 download |

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Robust Bayesian Allocation
portofolio optimization that controls for estimation risk

7 years ago | 7 downloads |

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Review of Discrete and Continuous Processes in Finance
discrete-time and continuous-time processes for finance, theory and empirical examples

7 years ago | 5 downloads |

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Managing Diversification
Entropy-based mean-diversification efficient frontier

7 years ago | 6 downloads |

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Estimation of Structured t-Copulas
Recursive routine to estimate structured correlation matrix and degrees of freedom

7 years ago | 3 downloads |

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Simulations with Exact Means and Covariances
Exact multivariate normal simulation

7 years ago | 2 downloads |

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Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation

7 years ago | 2 downloads |

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Fully Flexible Extreme Views
Entropy Pooling for extreme views on CVaR

7 years ago | 1 download |

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Factors on Demand
Proper implementation of factor models: bottom-up estimation, top-down attribution

7 years ago | 8 downloads |

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Review of Dynamic Allocation Strategies
Convex versus Concave Management, CPPI, OBPI, portfolio insurance, etc.

7 years ago | 6 downloads |

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Exercises in Advanced Risk and Portfolio Management
text and comments on solutions available at http://symmys.com/node/170

7 years ago | 11 downloads |

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Fully Flexible Views and Stress-testing
Full generalization of Black-Litterman and related techniques via entropy pooling

7 years ago | 10 downloads |

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Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics
Higher moments at any horizon

7 years ago | 3 downloads |

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Historical Scenarios with Fully Flexible Probabilities
State- and time-dependent risk management through Entropy Pooling

7 years ago | 4 downloads |

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Fully Flexible Bayesian Networks
Specification of conditional probabilities with minimal information through Entropy Pooling

7 years ago | 15 downloads |

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Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management
Compounded returns for projection/estimation Linear returns for portfolio aggregation

7 years ago | 1 download |

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Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects
"Beta" not just the CAPM, "Beta" not on log-returns

7 years ago | 2 downloads |

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