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风险和资产配置

版本1.1.0.0(6.64 MB) Attilio Meucci
量化投资组合和风险管理软件
4.8
(23)

33.5 k下载

更新2018年1月19日

查看许可协议

这些例程支持这本书“风险和资产金宝app配置”斯普林格金融、a . Meucci,看到http://www.symmys.com

例程包括许多新特点:
——多更多的大学————和matrix-variate分布
——更多的连系动词
——更多的图形表示
location-dispersion椭球的——更多的分析。
——选择最佳复制/最佳因素
——FFT-based投影分布的投资期限
——警告δ/γ定价
——循序渐进的评价一般的估计量
——非参数估计
——多元椭圆最大似然估计
——收缩估计:斯坦和Ledoit-Wolf,贝叶斯古典等价的
——鲁棒估计:休伯特M,高击穿最小体积椭球
——缺失数据技术:EM算法,uneven-series条件评估
——随机优势
为VaR -极值理论
——为VaR Cornish-Fisher近似
——基于VaR和预期贡献不足从不同的风险因素
均值-方差分析和缺陷(不同的视野、加剧和线性回归等…)
贝叶斯估计(多元分析、蒙特卡洛马尔可夫链,先知先觉的相关性矩阵)
评估风险评估:estimation-based分配的机会成本
——黑Litterman分配
鲁棒优化(调用SeDuMi来执行锥编程)
——稳健贝叶斯分配
——更多的……
除了这些MATLAB程序,www.symmys.com读者可以发现其他免费下载补充材料:
——“技术附件”,一本小册子的证明结果提出了使用的书籍和例程
——“幻灯片”,一组演讲,带领读者整本书
——“勘误表”,一些拼写错误在前两个书的再版
——“Sample”这本书的摘录。
任何反馈上述材料是高度赞赏:请参考www.symmys.com与作者联系。

引用作为

Attilio Meucci (2023)。风险和资产配置(//www.tatmou.com/matlabcentral/fileexchange/9061-risk-and-asset-allocation), MATLAB中央文件交换。检索。

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AMeucciRiskandAssetAllocationRoutines Ch1_UniVariateDistributions /

AMeucciRiskandAssetAllocationRoutines Ch2_MultiVariateDistributions /

AMeucciRiskandAssetAllocationRoutines / Ch2_MultiVariateDistributions / A_Distributions /提供

AMeucciRiskandAssetAllocationRoutines / Ch2_MultiVariateDistributions / A_Distributions / Pdf /

AMeucciRiskandAssetAllocationRoutines / Ch2_MultiVariateDistributions A_Distributions /模拟/

AMeucciRiskandAssetAllocationRoutines / Ch2_MultiVariateDistributions / A_Distributions /模拟/椭圆

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 /一般/

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 /配件/警察/

AMeucciRiskandAssetAllocationRoutines /配件/ IntroMATLAB /

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