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Feeds
Inviato
Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes
Inverse Call Transformation to compute shadow rates
oltre 9 anni fa | 1 download |
Inviato
Portfolio Diversi cation Based on Optimized Uncorrelated Factors
Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution
oltre 10 anni fa | 5 download |
Inviato
A Fully Integrated Liquidity and Market Risk Model
Conditional convolution algorithm to blend market risk and liquidity risk
oltre 11 anni fa | 2 download |
Inviato
Copula-Marginal Algorithm (CMA)
Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management
oltre 13 anni fa | 5 download |
Inviato
Visualizing the Propagation of Risk
Square-root rule diffusion for location-dispersion ellipsoid
quasi 14 anni fa | 1 download |
Inviato
Robust Bayesian Allocation
portofolio optimization that controls for estimation risk
quasi 14 anni fa | 4 download |
Inviato
Review of Discrete and Continuous Processes in Finance
discrete-time and continuous-time processes for finance, theory and empirical examples
quasi 14 anni fa | 3 download |
Inviato
Managing Diversification
Entropy-based mean-diversification efficient frontier
quasi 14 anni fa | 1 download |
Inviato
Estimation of Structured t-Copulas
Recursive routine to estimate structured correlation matrix and degrees of freedom
quasi 14 anni fa | 2 download |
Inviato
Simulations with Exact Means and Covariances
Exact multivariate normal simulation
quasi 14 anni fa | 1 download |
Inviato
Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation
quasi 14 anni fa | 2 download |
Inviato
Fully Flexible Extreme Views
Entropy Pooling for extreme views on CVaR
quasi 14 anni fa | 2 download |
Inviato
Factors on Demand
Proper implementation of factor models: bottom-up estimation, top-down attribution
quasi 14 anni fa | 1 download |
Inviato
Review of Dynamic Allocation Strategies
Convex versus Concave Management, CPPI, OBPI, portfolio insurance, etc.
quasi 14 anni fa | 2 download |
Inviato
Exercises in Advanced Risk and Portfolio Management
text and comments on solutions available at http://symmys.com/node/170
quasi 14 anni fa | 6 download |
Inviato
Fully Flexible Views and Stress-testing
Full generalization of Black-Litterman and related techniques via entropy pooling
quasi 14 anni fa | 4 download |
Inviato
Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics
Higher moments at any horizon
quasi 14 anni fa | 1 download |
Inviato
Historical Scenarios with Fully Flexible Probabilities
State- and time-dependent risk management through Entropy Pooling
quasi 14 anni fa | 3 download |
Inviato
Fully Flexible Bayesian Networks
Specification of conditional probabilities with minimal information through Entropy Pooling
quasi 14 anni fa | 2 download |
Inviato
Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management
Compounded returns for projection/estimation Linear returns for portfolio aggregation
quasi 14 anni fa | 2 download |
Inviato
Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects
"Beta" not just the CAPM, "Beta" not on log-returns
quasi 14 anni fa | 1 download |
Inviato
Risk and Asset Allocation
Software for quantitative portfolio and risk management
circa 16 anni fa | 20 download |
