|
Topic |
Type |
Author Name |
Title |
Updated |
Pub Date |
|
-Evaluation |
Review |
Attilio Meucci |
Extended Set of Portfolio Summary Statistics: Theory and Implementation |
Jun-11 |
Jun-11 |
|
Overview, -Quest for invariance, -Estimation, -Projection, -Pricing, -Aggregation, -Attribution, -Evaluation, -Optimization, -Ex-post analysis |
Review |
Attilio Meucci |
(New!) "The Prayer" |
Mar-11 |
Apr-11 |
|
Overview, Quant Classroom, -Estimation |
Review |
Attilio Meucci |
'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance |
Apr-11 |
Apr-11 |
|
Technical proofs |
Review |
Attilio Meucci |
Textbook: Technical Appendices and Proofs |
May-07 |
Mar-05 |
|
-Quest for invariance, -Portfolio construction, -Projection |
Review |
Attilio Meucci |
Review of Dynamic Allocation Strategies |
Sep-10 |
Sep-10 |
|
Textbook Exercises |
Review |
Attilio Meucci |
Exercises in Advanced Risk and Portfolio Management |
Oct-10 |
Aug-09 |
|
-Quest for invariance |
Review |
Attilio Meucci |
Review of Discrete and Continuous Processes in Finance: Theory and Applications |
Feb-11 |
Feb-11 |
|
-Quest for invariance |
Review |
Attilio Meucci |
Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck |
Feb-11 |
Feb-11 |
|
-Quest for invariance, Textbook Exercises |
Review |
Attilio Meucci |
Textbook: Quest for Invariance in Financial Time Series |
Feb-08 |
Apr-05 |
|
-Linear factor models, -Estimation |
Review |
Attilio Meucci |
Textbook: Multivariate Estimation (Non-Parametric, MLE, Shrinkage, Robust, ...) |
Feb-08 |
Apr-05 |
|
| 