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Risk and Asset Allocation

version 1.1.0.0 (6.64 MB) by Attilio Meucci
Software for quantitative portfolio and risk management

33.1K Downloads

Updated 19 Jan 2018

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These routines support the book "Risk and Asset Allocation" Springer Finance, by A. Meucci, see http://www.symmys.com

The routines include many new features:
- more uni-, multi- and matrix-variate distributions
- more copulas
- more graphical representations
- more analyses in terms of the location-dispersion ellipsoid.
- best replication / best factor selection
- FFT-based projection of a distribution to the investment horizon
- caveats about delta/gamma pricing
- step-by-step evaluation of a generic estimator
- non-parametric estimators
- multivariate elliptical maximum-likelihood estimators
- shrinkage estimators: Stein and Ledoit-Wolf, Bayesian classical equivalent
- robust estimators: Hubert M, high-breakdown minimum volume ellipsoid
- missing-data techniques: EM algorithm, uneven-series conditional estimation
- stochastic dominance
- extreme value theory for VaR
- Cornish-Fisher approximation for VaR
- kernel-based contribution to VaR and expected shortfall from different risk-factors
- mean-variance analysis and pitfalls (different horizons, compounded vs. linear returns, etc...)
- Bayesian estimation (multivariate analytical, Monte Carlo Markov Chains, priors for correlation matrices)
- estimation risk evaluation: opportunity cost of estimation-based allocations
- Black Litterman allocation
- robust optimization (calls SeDuMi to perform cone programming)
- robust Bayesian allocation
- more...
In addition to these MATLAB routines, at www.symmys.com the reader can find other freely downloadable complementary materials:
- the "Technical Appendices", a booklet with the proofs of the results presented in the books and used in the routines
- the "Slides", a set of presentations that walk the reader through the whole book
- the "Errata", a few typos in the first two reprints of the book
- the "Sample", an excerpt of the book.
Any feedback on the above materials is highly appreciated: please refer to www.symmys.com to contact the author.

Cite As

Attilio Meucci (2021). Risk and Asset Allocation (https://www.mathworks.com/matlabcentral/fileexchange/9061-risk-and-asset-allocation), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R12
Compatible with any release
Platform Compatibility
Windows macOS Linux

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AMeucciRiskandAssetAllocationRoutines/Ch1_UniVariateDistributions/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Cdf/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Pdf/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/A_Distributions/Simulations/Elliptical/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/A_pdf/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/B_cdf/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/C_Simulations/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/B_Copulas/D_DependenceStatistics/

AMeucciRiskandAssetAllocationRoutines/Ch2_MultiVariateDistributions/C_LocationDispersion/

AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/A_InvarianceQuest/

AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/B_HorizonProjection/

AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/C_DimensionReduction/

AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/D_Pricing/

AMeucciRiskandAssetAllocationRoutines/Ch3_ModellingMarket/E_CaseStudySwap/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/A_Introduction/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/B_NonParametric/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/A_UnivariateNormal/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/B_UnivariateLognormal/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/C_MultivariateNormal/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/C_MaximumLikelihood/D_MultivariateT/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/D_Shrinkage/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/A_Intro/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/B_HubertM/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/E_Robust/C_HighBreakDown/

AMeucciRiskandAssetAllocationRoutines/Ch4_EstimatingInvariants/F_MissingData/

AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/A_StochasticDominance/

AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/B_ExpectedUtility/

AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/C_ValueAtRisk/

AMeucciRiskandAssetAllocationRoutines/Ch5_EvaluatingAllocations/D_ExpectedShortfall/

AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/A_AnalyticalExample/

AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/B_MeanVarianceFramework/Analytitcal/

AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/B_MeanVarianceFramework/Generic/

AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/C_TotalReturnVsBenchmark/

AMeucciRiskandAssetAllocationRoutines/Ch6_OptimizingAllocations/D_CaseStudy/

AMeucciRiskandAssetAllocationRoutines/Ch7_BayesianEstimation/

AMeucciRiskandAssetAllocationRoutines/Ch8_EvalEstimationRisk/A_EvaluationGeneric/

AMeucciRiskandAssetAllocationRoutines/Ch8_EvalEstimationRisk/B_PriorAllocation/

AMeucciRiskandAssetAllocationRoutines/Ch8_EvalEstimationRisk/C_SampleBasedAllocation/

AMeucciRiskandAssetAllocationRoutines/Ch9_OptimEstimationRisk/

AMeucciRiskandAssetAllocationRoutines/Ch9_OptimEstimationRisk/A_BayesAllocation/

AMeucciRiskandAssetAllocationRoutines/Ch9_OptimEstimationRisk/B_BlackLittAllocation/

AMeucciRiskandAssetAllocationRoutines/Ch9_OptimEstimationRisk/C_RobustAllocation/

AMeucciRiskandAssetAllocationRoutines/Ch9_OptimEstimationRisk/C_RobustAllocation/SeDuMi_1_1/

AMeucciRiskandAssetAllocationRoutines/Ch9_OptimEstimationRisk/D_RobustBayesAllocation/

AMeucciRiskandAssetAllocationRoutines/Extras/COP/

AMeucciRiskandAssetAllocationRoutines/Extras/IntroMATLAB/