Factors on Demand
Proper implementation of factor models: bottom-up estimation, top-down attribution
Three case studies: random matrix theory for estimation vs. cross-sectional model for attribution; hedging based on full-repricing instead of Black-Scholes deltas; heuristcs for best K attribution/hedging factors out N
To walk through the code and for a thorough description, see
Meucci A., "Factors on Demand",
Latest version of article and code available at http://symmys.com/node/164
引用格式
Attilio Meucci (2026). Factors on Demand (https://ww2.mathworks.cn/matlabcentral/fileexchange/26853-factors-on-demand), MATLAB Central File Exchange. 检索时间: .
