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Factors on Demand

version 1.6.0.0 (4.08 MB) by Attilio Meucci
Proper implementation of factor models: bottom-up estimation, top-down attribution

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Updated 09 May 2011

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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

Cite As

Attilio Meucci (2021). Factors on Demand (https://www.mathworks.com/matlabcentral/fileexchange/26853-factors-on-demand), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (2)

Leo Zhang

Is anyone aware that the waterfall bar graph is not displaying properly in Matlab ver. 2015b? Specifically, every bar now starts from zero instead of from the previous value.

Hichem El Fertas

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

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