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Feeds
Submitted
Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes
Inverse Call Transformation to compute shadow rates
9 years ago | 1 download |
Submitted
Portfolio Diversi cation Based on Optimized Uncorrelated Factors
Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution
10 years ago | 1 download |
Submitted
A Fully Integrated Liquidity and Market Risk Model
Conditional convolution algorithm to blend market risk and liquidity risk
11 years ago | 4 downloads |
Submitted
Copula-Marginal Algorithm (CMA)
Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management
13 years ago | 6 downloads |
Submitted
Visualizing the Propagation of Risk
Square-root rule diffusion for location-dispersion ellipsoid
13 years ago | 1 download |
Submitted
Robust Bayesian Allocation
portofolio optimization that controls for estimation risk
13 years ago | 1 download |
Submitted
Review of Discrete and Continuous Processes in Finance
discrete-time and continuous-time processes for finance, theory and empirical examples
13 years ago | 2 downloads |
Submitted
Managing Diversification
Entropy-based mean-diversification efficient frontier
13 years ago | 5 downloads |
Submitted
Estimation of Structured t-Copulas
Recursive routine to estimate structured correlation matrix and degrees of freedom
13 years ago | 1 download |
Submitted
Simulations with Exact Means and Covariances
Exact multivariate normal simulation
13 years ago | 1 download |
Submitted
Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation
13 years ago | 4 downloads |
Submitted
Fully Flexible Extreme Views
Entropy Pooling for extreme views on CVaR
13 years ago | 1 download |
Submitted
Factors on Demand
Proper implementation of factor models: bottom-up estimation, top-down attribution
13 years ago | 3 downloads |
Submitted
Review of Dynamic Allocation Strategies
Convex versus Concave Management, CPPI, OBPI, portfolio insurance, etc.
13 years ago | 2 downloads |
Submitted
Exercises in Advanced Risk and Portfolio Management
text and comments on solutions available at http://symmys.com/node/170
13 years ago | 5 downloads |
Submitted
Fully Flexible Views and Stress-testing
Full generalization of Black-Litterman and related techniques via entropy pooling
13 years ago | 4 downloads |
Submitted
Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics
Higher moments at any horizon
13 years ago | 1 download |
Submitted
Historical Scenarios with Fully Flexible Probabilities
State- and time-dependent risk management through Entropy Pooling
13 years ago | 2 downloads |
Submitted
Fully Flexible Bayesian Networks
Specification of conditional probabilities with minimal information through Entropy Pooling
13 years ago | 2 downloads |
Submitted
Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management
Compounded returns for projection/estimation Linear returns for portfolio aggregation
13 years ago | 1 download |
Submitted
Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects
"Beta" not just the CAPM, "Beta" not on log-returns
13 years ago | 1 download |
Submitted
Risk and Asset Allocation
Software for quantitative portfolio and risk management
15 years ago | 25 downloads |