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Exercises in Advanced Risk and Portfolio Management

version 1.4.0.0 (1.43 MB) by Attilio Meucci
text and comments on solutions available at http://symmys.com/node/170

17 Downloads

Updated 09 May 2011

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To walk through the code and for a thorough description, refer to
A. Meucci, (2009) "Exercises in Advanced Risk and Portfolio Management - With Step-by-Step Solutions and Fully Documented Code"
Latest version of article and code available at http://symmys.com/node/170

Cite As

Attilio Meucci (2020). Exercises in Advanced Risk and Portfolio Management (https://www.mathworks.com/matlabcentral/fileexchange/25010-exercises-in-advanced-risk-and-portfolio-management), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (9)

xasig xa

Rubens

David

Zoe

francesco

very comprehensive work

Mirko

outstanding

Thomas

So useful, you just can't imagine

Awesome, thank you

Updates

1.4.0.0

updated references

1.3.0.0

Added random matrix theory
Added dynamic strategies

1.2.0.0

Added new exercises

1.1.0.0

Added exercises

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
Platform Compatibility
Windows macOS Linux

Meucci_ExercisesRiskPortfolioMgmt/10_EstimationRisk/A_General/

Meucci_ExercisesRiskPortfolioMgmt/10_EstimationRisk/C_Robust/

Meucci_ExercisesRiskPortfolioMgmt/10_EstimationRisk/D_BLnBeyond/BL/

Meucci_ExercisesRiskPortfolioMgmt/10_EstimationRisk/D_BLnBeyond/BeyondBL/

Meucci_ExercisesRiskPortfolioMgmt/1_Distributions/General/

Meucci_ExercisesRiskPortfolioMgmt/1_Distributions/Parametric/

Meucci_ExercisesRiskPortfolioMgmt/1_Distributions/SpecialClasses/

Meucci_ExercisesRiskPortfolioMgmt/2_Dependence/Copula/

Meucci_ExercisesRiskPortfolioMgmt/2_Dependence/Correlation/

Meucci_ExercisesRiskPortfolioMgmt/3_QuestForInvariance/Empirical/

Meucci_ExercisesRiskPortfolioMgmt/3_QuestForInvariance/Theory/

Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/Bayesian/

Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/MLE/

Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/MissingData/

Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/NonParametric/

Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/Shrinkage/

Meucci_ExercisesRiskPortfolioMgmt/4_Estimation/Testing/

Meucci_ExercisesRiskPortfolioMgmt/5_ProjectionPricing/

Meucci_ExercisesRiskPortfolioMgmt/5_ProjectionPricing/MultivariateGARCH/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/1PureResidual/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/2CrossSectional/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/3TimeSeries/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/4Statistical/FactorAnalysis/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/4Statistical/PCA/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/4Statistical/RandMatrixTheory/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/5FactorsOnDemand/FoDHorizon/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/5FactorsOnDemand/FoDSelectionHeuristics/

Meucci_ExercisesRiskPortfolioMgmt/6_DimensionReduction/5FactorsOnDemand/FoDhedge/

Meucci_ExercisesRiskPortfolioMgmt/7_RiskManagement/A_Objectives/

Meucci_ExercisesRiskPortfolioMgmt/7_RiskManagement/D_VaR/

Meucci_ExercisesRiskPortfolioMgmt/7_RiskManagement/E_CVaR/

Meucci_ExercisesRiskPortfolioMgmt/8_StaticPortfManagement/

Meucci_ExercisesRiskPortfolioMgmt/9_DynamicStrategies/