Attilio Meucci

自 2009 起处于活动状态

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统计学

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

9 years 前 | 2 次下载 |

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

10 years 前 | 4 次下载 |

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

11 years 前 | 4 次下载 |

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

13 years 前 | 5 次下载 |

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

13 years 前 | 2 次下载 |

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Robust Bayesian Allocation
portofolio optimization that controls for estimation risk

13 years 前 | 3 次下载 |

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

13 years 前 | 4 次下载 |

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Managing Diversification
Entropy-based mean-diversification efficient frontier

13 years 前 | 4 次下载 |

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

13 years 前 | 1 次下载 |

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Simulations with Exact Means and Covariances
Exact multivariate normal simulation

13 years 前 | 3 次下载 |

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

13 years 前 | 4 次下载 |

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Fully Flexible Extreme Views
Entropy Pooling for extreme views on CVaR

13 years 前 | 4 次下载 |

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

13 years 前 | 3 次下载 |

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

13 years 前 | 4 次下载 |

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

13 years 前 | 5 次下载 |

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

13 years 前 | 5 次下载 |

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

13 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

13 years 前 | 1 次下载 |

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

13 years 前 | 3 次下载 |

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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

13 years 前 | 2 次下载 |

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

13 years 前 | 2 次下载 |

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Risk and Asset Allocation
Software for quantitative portfolio and risk management

15 years 前 | 28 次下载 |