Searchable Resources

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    Type
    Title
    Pdf
    Code
    Slide    		Pub
    Date
    Updated
    Review (New!) "The Prayer" - Ten-Step Checklist for Advanced Risk and Portfolio Management
    Garp Risk Professional         		Appendix Apr-11 Mar-11
    Research The Black-Litterman Approach: Original Model and Extensions
    Shorter version in, The Encyclopedia of Quantitative Finance, Wiley, 2010     		Appendix Apr-08 Oct-10
    Research Fully Flexible Views: Theory and Practice
    Risk, 21, 10, 97-102 (2008)     		Appendix MetLab Code Aug-08 Aug-08
    Research Factors on Demand: Building a Platform for Portfolio Managers, Risk Managers and Traders
    Risk, Vol. 23, No.7, p. 84-89     		Appendix MetLab Code Slides Mar-10 Oct-10
    Research Managing Diversification
    Risk, pp. 74-79, May 2009     		Appendix MetLab Code May-09 Mar-10
    Review 'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance
    GARP Risk Professional, pp. 47-50         		Appendix Apr-11 Apr-11
    Review Textbook: Technical Appendices and Proofs
    Risk and Asset Allocation, Springer 2005         		Appendix Mar-05 May-07
    Research Stress-Testing with Fully Flexible Causal Inputs
    working paper         		Appendix MetLab Code Dec-10 Dec-10
    Research Return Calculations for Leveraged Securities and Portfolios
    GARP Risk Professional "The Quant Classroom" series 5, pp. 40-43, October 2010     		Appendix Mar-10 Mar-11
    Review Review of Dynamic Allocation Strategies: Utility Maximization, Option Replication, Insurance, Drawdown Control, Convex/Concave Management
    working paper         		Appendix MetLab Code Sep-10 Sep-10
    Research Fully Flexible Extreme Views
    working paper         		Appendix MetLab Code Jan-10 Jan-11
    Review Exercises in Advanced Risk and Portfolio Management - With Step-by-Step Solutions and Fully Documented Code Appendix MetLab Code Aug-09 Oct-10
    Review Review of Discrete and Continuous Processes in Finance: Theory and Applications
    working paper         		Appendix MetLab Code Feb-11 Feb-11
    Review Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
    working paper         		Appendix MetLab Code Feb-11 Feb-11
    Review Textbook: Quest for Invariance in Financial Time Series
    Risk and Asset Allocation, Springer 2005         		Appendix MetLab Code Slides Apr-05 Feb-08
    Research Review of Linear Factor Models (work in progress) Slides May-10 May-11
    Research Estimation of Structured T-Copulas
    working paper         		Appendix MetLab Code Apr-08 Apr-08
    Review Textbook: Multivariate Estimation (Non-Parametric, MLE, Shrinkage, Robust, ...)
    Risk and Asset Allocation, Springer 2005         		Appendix MetLab Code Slides Apr-05 Feb-08
    Research Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics
    GARP Risk Professional "The Quant Classroom" series 4, pp. 59-63, July 2010
         		Appendix MetLab Code Jul-10 Oct-10
    Research Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids
    Garp Risk Professional "The Quant Classroom" series 1, pp. 52-53, February 2010         		Appendix MetLab Code Feb-10 Nov-10
    Review Textbook: Projection of Invariants to Investment Horizon
    Risk and Asset Allocation, Springer 2005         		Appendix MetLab Code Slides Apr-05 Feb-08
    Review Textbook: Pricing of Individual Securities
    Risk and Asset Allocation, Springer 2005         		Appendix MetLab Code Slides Apr-05 Feb-08
    Review Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management
    GARP Risk Professional "The Quant Classroom" series 2, pp. 49-51, April 2010         		Appendix MetLab Code Apr-10 Nov-10
    Research Risk Contributions from Generic User-Defined Factors
    Risk, pp. 84-88, June 2007     		Appendix Sep-08 Aug-10
    Review Textbook: Risk Evaluation (stochastic dominance, expected utility, VaR, CVaR, spectral measures,...)
    Risk and Asset Allocation, Springer 2005         		Appendix MetLab Code Slides Apr-05 Feb-08
    Review Textbook: Portfolio Optimization (Mean-Variance, Cone Programming, Benchmark Allocation,...)
    Risk and Asset Allocation, Springer 2005         		Appendix MetLab Code Slides Apr-05 Feb-08
    Review Common Misconceptions About 'Beta' - Hedging, Estimation and Horizon Effects
    GARP's Risk Professional Magazine, June 2010     		Appendix MetLab Code Jun-10 Oct-10
    Review Textbook: Linear Factor Models
    Risk and Asset Allocation, Springer 2005         		Appendix MetLab Code Slides Jan-05 Aug-08
    Review Textbook: Swaps modeling using Principal Component Analysis
    Risk and Asset Allocation, Springer 2005         		Appendix MetLab Code Slides Jan-05 Aug-08
    Research Historical Scenarios with Fully Flexible Probabilities
    GARP Risk Professional, p. 47-51, December 2010         		Appendix MetLab Code Nov-10 Jan-11