Exercises in Advanced Risk and Portfolio Management

    Published On 01/03/2011
    Author Name : 
    Attilio Meucci
    Published Date: 
    Tuesday, Aug 11, 2009
    Last Update: 
    Monday, Oct 11, 2010

    Exercises and case studies for a rigorous approach to risk- and portfolio-management. This booklet stems from the review sessions of the six-day ARPM bootcamp.

    Contents include:
    Advanced multivariate statistics; copula-marginal decomposition
    Annualization/projection (FFT, cumulants, simulations)
    Pricing: exact; first order (delta/duration); second order (gamma/convexity)
    Quest for invariance (stationarity, volatlity clustering, cointegration)
    Mutlivariate estimation
    - Non-parametric; MLE; shrinkage; robust; Bayesian; missing data
    - Generalized hypothesis testing
    Dimension reduction
    - Statistical (random matrices; principal components; factor analysis)
    - Cross-sectional / time-series factor models
    - Factors on Demand
    Risk management
    - VaR/CVaR (marginal Euler decomposition; extreme value theory; Cornish-Fisher; elliptical)
    - Generalized objectives (p&l, return, relative return, etc)
    - Stochastic dominance/utility theory
    Classical portfolio management: mean-variance
    Dynamic strategies (option replication, CPPI, utlity maximization)
    Advanced portfolio management
    - Robust optimization
    - Black-Litterman and beyond: fully flexible views
    Solution code available at MATLAB Central File Exchange.