战略资产配置matlab,Matlab实现风险和金融资产配置管理

包含的功能有：

- more uni-, multi- and matrix-variate distributions

- more copulas

- more graphical representations

- more analyses in terms of the location-dispersion ellipsoid.

- best replication / best factor selection

- FFT-based projection of a distribution to the investment horizon

- caveats about delta/gamma pricing

- step-by-step evaluation of a generic estimator

- non-parametric estimators

- multivariate elliptical maximum-likelihood estimators

- shrinkage estimators: Stein and Ledoit-Wolf, Bayesian classical equivalent

- robust estimators: Hubert M, high-breakdown minimum volume ellipsoid

- missing-data techniques: EM algorithm, uneven-series conditional estimation

- stochastic dominance

- extreme value theory for VaR

- Cornish-Fisher approximation for VaR

- kernel-based contribution to VaR and expected shortfall from different risk-factors

- mean-variance analysis and pitfalls (different horizons, compounded vs. linear returns, etc...)

- Bayesian estimation (multivariate analytical, Monte Carlo Markov Chains, priors for correlation matrices)

- estimation risk evaluation: opportunity cost of estimation-based allocations

- Black Litterman allocation

- robust optimization (calls SeDuMi to perform cone programming)

- robust Bayesian allocation

- more...

In addition to these MATLAB routines, at www.symmys.com the reader can find other freely downloadable complementary materials:

- the "Technical Appendices", a booklet with the proofs of the results presented in the books and used in the routines

- the "Slides", a set of presentations that walk the reader through the whole book

- the "Errata", a few typos in the first two reprints of the book

- the "Sample", an excerpt of the book.

Any feedback on the above materials is highly appreciated: please refer to www.symmys.com to contact the author.