Factors on Demand

버전 1.6.0.0 (4.08 MB) 작성자: Attilio Meucci

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

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업데이트 날짜: 2011/5/9

라이선스 보기

Three case studies: random matrix theory for estimation vs. cross-sectional model for attribution; hedging based on full-repricing instead of Black-Scholes deltas; heuristcs for best K attribution/hedging factors out N

To walk through the code and for a thorough description, see
Meucci A., "Factors on Demand",

Latest version of article and code available at http://symmys.com/node/164

인용 양식

Attilio Meucci (2026). Factors on Demand (https://kr.mathworks.com/matlabcentral/fileexchange/26853-factors-on-demand), MATLAB Central File Exchange. 검색 날짜: 2026/1/30.

MATLAB 릴리스 호환 정보

개발 환경: R2009a

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카테고리

Help Center 및 MATLAB Answers에서 Portfolio Optimization and Asset Allocation에 대해 자세히 알아보기

태그 태그 추가

FactorsOnDemand/NoGreekHedging/

FactorsOnDemand/SelectionHeuristics/

FactorsOnDemand/StatisticalVsCrossSectional/

버전	게시됨	릴리스 정보
1.6.0.0	2011/5/9	updated references	다운로드
1.5.0.0	2010/7/15	Added case study	다운로드
1.1.0.0	2010/6/23	Added one case study, also detailed in the above article	다운로드
1.0.0.0	2010/3/5		다운로드