Community Profile

photo

Attilio Meucci


www.symmys.com

22 total contributions since 2011

Contact

Attilio Meucci's Badges

  • Personal Best Downloads Level 3
  • 5-Star Galaxy Level 5
  • First Submission

View details...

Contributions in
View by

Submitted


Risk and Asset Allocation
Software for quantitative portfolio and risk management

2 years ago | 34 downloads |

Thumbnail

Submitted


Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes
Inverse Call Transformation to compute shadow rates

4 years ago | 4 downloads |

Thumbnail

Submitted


Portfolio Diversi…cation Based on Optimized Uncorrelated Factors
Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution

6 years ago | 7 downloads |

Thumbnail

Submitted


A Fully Integrated Liquidity and Market Risk Model
Conditional convolution algorithm to blend market risk and liquidity risk

6 years ago | 11 downloads |

Thumbnail

Submitted


Copula-Marginal Algorithm (CMA)
Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management

8 years ago | 3 downloads |

Thumbnail

Submitted


Visualizing the Propagation of Risk
Square-root rule diffusion for location-dispersion ellipsoid

9 years ago | 3 downloads |

Thumbnail

Submitted


Robust Bayesian Allocation
portofolio optimization that controls for estimation risk

9 years ago | 6 downloads |

Thumbnail

Submitted


Review of Discrete and Continuous Processes in Finance
discrete-time and continuous-time processes for finance, theory and empirical examples

9 years ago | 11 downloads |

Thumbnail

Submitted


Managing Diversification
Entropy-based mean-diversification efficient frontier

9 years ago | 7 downloads |

Thumbnail

Submitted


Estimation of Structured t-Copulas
Recursive routine to estimate structured correlation matrix and degrees of freedom

9 years ago | 2 downloads |

Thumbnail

Submitted


Simulations with Exact Means and Covariances
Exact multivariate normal simulation

9 years ago | 4 downloads |

Thumbnail

Submitted


Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation

9 years ago | 5 downloads |

Thumbnail

Submitted


Fully Flexible Extreme Views
Entropy Pooling for extreme views on CVaR

9 years ago | 3 downloads |

Thumbnail

Submitted


Factors on Demand
Proper implementation of factor models: bottom-up estimation, top-down attribution

9 years ago | 5 downloads |

Thumbnail

Submitted


Review of Dynamic Allocation Strategies
Convex versus Concave Management, CPPI, OBPI, portfolio insurance, etc.

9 years ago | 6 downloads |

Thumbnail

Submitted


Exercises in Advanced Risk and Portfolio Management
text and comments on solutions available at http://symmys.com/node/170

9 years ago | 11 downloads |

Submitted


Fully Flexible Views and Stress-testing
Full generalization of Black-Litterman and related techniques via entropy pooling

9 years ago | 8 downloads |

Thumbnail

Submitted


Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics
Higher moments at any horizon

9 years ago | 4 downloads |

Thumbnail

Submitted


Historical Scenarios with Fully Flexible Probabilities
State- and time-dependent risk management through Entropy Pooling

9 years ago | 3 downloads |

Thumbnail

Submitted


Fully Flexible Bayesian Networks
Specification of conditional probabilities with minimal information through Entropy Pooling

9 years ago | 10 downloads |

Thumbnail

Submitted


Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management
Compounded returns for projection/estimation Linear returns for portfolio aggregation

9 years ago | 4 downloads |

Thumbnail

Submitted


Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects
"Beta" not just the CAPM, "Beta" not on log-returns

9 years ago | 5 downloads |

Thumbnail