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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다운로드 수: 4.1K
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 (2025). Factors on Demand (https://www.mathworks.com/matlabcentral/fileexchange/26853-factors-on-demand), MATLAB Central File Exchange. 검색 날짜: .

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FactorsOnDemand/NoGreekHedging/

FactorsOnDemand/SelectionHeuristics/

FactorsOnDemand/StatisticalVsCrossSectional/

버전 게시됨 릴리스 정보
1.6.0.0

updated references
1.5.0.0

Added case study

1.1.0.0

Added one case study, also detailed in the above article
1.0.0.0