Book

"Risk and Asset Allocation" - Springer, by Attilio Meucci

Exercises in Advanced Risk and Portfolio Management

Exercises and case studies for a rigorous approach to risk- and portfolio-management. This booklet stems from the review sessions of the six-day ARPM bootcamp. Contents include: Advanced multivariate statistics; copula-marginal decomposition Annualization/projection (FFT, cumulants, simulations) Pricing: exact; first order (delta/duration); second order (gamma/convexity) Quest for invariance (stationarity, volatlity clustering, cointegration) Mutlivariate estimation – Non-parametric; MLE; shrinkage; robust; Bayesian; missing data – Generalized hypothesis testing Dimension reduction – Statistical (random matrices; principal components; factor analysis) – Cross-sectional / time-series factor models – Factors on Demand Risk management – VaR/CVaR (marginal Euler decomposition; extreme value theory; Cornish-Fisher; elliptical) – Generalized objectives (p&l, return, relative return, etc) – Stochastic dominance/utility theory Classical portfolio management: mean-variance Dynamic strategies (option replication, CPPI, utlity maximization) Advanced portfolio management – Robust optimization – Black-Litterman and beyond: fully flexible views Solution code available at MATLAB Central File Exchange.

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