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제출됨
Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes
Inverse Call Transformation to compute shadow rates
9년 초과 전 | 다운로드 수: 1 |
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제출됨
Portfolio Diversi cation Based on Optimized Uncorrelated Factors
Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution
10년 초과 전 | 다운로드 수: 3 |
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제출됨
A Fully Integrated Liquidity and Market Risk Model
Conditional convolution algorithm to blend market risk and liquidity risk
11년 초과 전 | 다운로드 수: 2 |
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제출됨
Copula-Marginal Algorithm (CMA)
Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management
13년 초과 전 | 다운로드 수: 5 |
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제출됨
Visualizing the Propagation of Risk
Square-root rule diffusion for location-dispersion ellipsoid
거의 14년 전 | 다운로드 수: 1 |
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제출됨
Robust Bayesian Allocation
portofolio optimization that controls for estimation risk
거의 14년 전 | 다운로드 수: 1 |
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제출됨
Review of Discrete and Continuous Processes in Finance
discrete-time and continuous-time processes for finance, theory and empirical examples
거의 14년 전 | 다운로드 수: 2 |
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제출됨
Managing Diversification
Entropy-based mean-diversification efficient frontier
거의 14년 전 | 다운로드 수: 3 |
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제출됨
Estimation of Structured t-Copulas
Recursive routine to estimate structured correlation matrix and degrees of freedom
거의 14년 전 | 다운로드 수: 2 |
제출됨
Simulations with Exact Means and Covariances
Exact multivariate normal simulation
거의 14년 전 | 다운로드 수: 1 |
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제출됨
Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation
거의 14년 전 | 다운로드 수: 2 |
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제출됨
Factors on Demand
Proper implementation of factor models: bottom-up estimation, top-down attribution
거의 14년 전 | 다운로드 수: 1 |
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제출됨
Review of Dynamic Allocation Strategies
Convex versus Concave Management, CPPI, OBPI, portfolio insurance, etc.
거의 14년 전 | 다운로드 수: 4 |
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제출됨
Exercises in Advanced Risk and Portfolio Management
text and comments on solutions available at http://symmys.com/node/170
거의 14년 전 | 다운로드 수: 6 |
제출됨
Fully Flexible Views and Stress-testing
Full generalization of Black-Litterman and related techniques via entropy pooling
거의 14년 전 | 다운로드 수: 4 |
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제출됨
Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics
Higher moments at any horizon
거의 14년 전 | 다운로드 수: 1 |
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제출됨
Historical Scenarios with Fully Flexible Probabilities
State- and time-dependent risk management through Entropy Pooling
거의 14년 전 | 다운로드 수: 5 |
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제출됨
Fully Flexible Bayesian Networks
Specification of conditional probabilities with minimal information through Entropy Pooling
거의 14년 전 | 다운로드 수: 5 |
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제출됨
Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management
Compounded returns for projection/estimation Linear returns for portfolio aggregation
거의 14년 전 | 다운로드 수: 2 |
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제출됨
Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects
"Beta" not just the CAPM, "Beta" not on log-returns
거의 14년 전 | 다운로드 수: 1 |
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제출됨
Risk and Asset Allocation
Software for quantitative portfolio and risk management
거의 16년 전 | 다운로드 수: 18 |
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