Feeds
已提交
Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes
Inverse Call Transformation to compute shadow rates
9 years 前 | 1 次下载 |
已提交
Portfolio Diversi cation Based on Optimized Uncorrelated Factors
Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution
11 years 前 | 1 次下载 |
已提交
A Fully Integrated Liquidity and Market Risk Model
Conditional convolution algorithm to blend market risk and liquidity risk
12 years 前 | 2 次下载 |
已提交
Copula-Marginal Algorithm (CMA)
Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management
14 years 前 | 2 次下载 |
已提交
Visualizing the Propagation of Risk
Square-root rule diffusion for location-dispersion ellipsoid
14 years 前 | 1 次下载 |
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Robust Bayesian Allocation
portofolio optimization that controls for estimation risk
14 years 前 | 4 次下载 |
已提交
Review of Discrete and Continuous Processes in Finance
discrete-time and continuous-time processes for finance, theory and empirical examples
14 years 前 | 2 次下载 |
已提交
Managing Diversification
Entropy-based mean-diversification efficient frontier
14 years 前 | 1 次下载 |
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Estimation of Structured t-Copulas
Recursive routine to estimate structured correlation matrix and degrees of freedom
14 years 前 | 2 次下载 |
已提交
Simulations with Exact Means and Covariances
Exact multivariate normal simulation
14 years 前 | 1 次下载 |
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Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation
14 years 前 | 2 次下载 |
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Factors on Demand
Proper implementation of factor models: bottom-up estimation, top-down attribution
14 years 前 | 2 次下载 |
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Review of Dynamic Allocation Strategies
Convex versus Concave Management, CPPI, OBPI, portfolio insurance, etc.
14 years 前 | 2 次下载 |
已提交
Exercises in Advanced Risk and Portfolio Management
text and comments on solutions available at http://symmys.com/node/170
14 years 前 | 3 次下载 |
已提交
Fully Flexible Views and Stress-testing
Full generalization of Black-Litterman and related techniques via entropy pooling
14 years 前 | 5 次下载 |
已提交
Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics
Higher moments at any horizon
14 years 前 | 1 次下载 |
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Historical Scenarios with Fully Flexible Probabilities
State- and time-dependent risk management through Entropy Pooling
14 years 前 | 2 次下载 |
已提交
Fully Flexible Bayesian Networks
Specification of conditional probabilities with minimal information through Entropy Pooling
14 years 前 | 5 次下载 |
已提交
Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management
Compounded returns for projection/estimation Linear returns for portfolio aggregation
14 years 前 | 2 次下载 |
已提交
Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects
"Beta" not just the CAPM, "Beta" not on log-returns
14 years 前 | 1 次下载 |
已提交
Risk and Asset Allocation
Software for quantitative portfolio and risk management
16 years 前 | 11 次下载 |
