Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

SCHOLARLY PAPERS

38

DOWNLOADS
Rank 14

SSRN RANKINGS

Top 14

in Total Papers Downloads

207,863

CITATIONS
Rank 5,872

SSRN RANKINGS

Top 5,872

in Total Papers Citations

86

Scholarly Papers (38)

1.

Exercises in Advanced Risk and Portfolio Management (ARPM) with Solutions and Code

Number of pages: 281 Posted: 11 Aug 2009 Last Revised: 08 Mar 2016
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 19,365 (63)

Abstract:

multivariate statistics, invariance quest, estimation theory, factor models, dimension reduction, pricing, VaR, CVaR, robust optimization, estimation risk, copula, cointegration, shrinkage, robustness, Bayesian, Black-Litterman, dynamic strategies

2.

The Black-Litterman Approach: Original Model and Extensions

Shorter version in, THE ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Wiley, 2010
Number of pages: 17 Posted: 08 Apr 2008 Last Revised: 13 Oct 2010
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 16,085 (85)
Citation 8

Abstract:

estimation risk, shrinkage estimation, decision theory

3.

Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck

Number of pages: 20 Posted: 15 May 2009 Last Revised: 06 Dec 2010
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 13,619 (124)
Citation 2

Abstract:

alpha, z-score, signal, half-life, vector-autoregression (VAR), moving average (MA), VARMA, stationary, unit-root, mean-reversion, Levy processes

4.

Fully Flexible Views: Theory and Practice

Fully Flexible Views: Theory and Practice, Risk, Vol. 21, No. 10, pp. 97-102, October 2008
Number of pages: 26 Posted: 10 Aug 2008 Last Revised: 06 Dec 2010
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 9,376 (248)
Citation 14

Abstract:

Black-Litterman, stress-test, scenario analysis, entropy, opinion pooling, Bayesian theory, Kullback-Leibler, Monte Carlo simulations, importance sampling, fat-tails, median, regime shift, normal mixtures, multi-manager, skill, ranking, ordering information, option trading, macro views

5.

‘The Prayer’ Ten-Step Checklist for Advanced Risk and Portfolio Management

Number of pages: 29 Posted: 11 May 2011 Last Revised: 14 May 2011
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 9,266 (219)
Citation 1

Abstract:

Quest for Invariance, Conservation Law of Money, Estimation, Projection, Pricing, Aggregation, Attribution, Evaluation, Optimization, Invariants, Risk Drivers, Random Walk, Levy Process, Autocorrelation, Long Memory, Volatility Clustering, Non-Parametric, Monte Carlo, Panic Copula, Elliptical

6.

Managing Diversification

Risk, pp. 74-79, May 2009, Bloomberg Education & Quantitative Research and Education Paper
Number of pages: 23 Posted: 13 Mar 2009 Last Revised: 11 Oct 2010
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 8,944 (259)
Citation 6

Abstract:

entropy, mean-diversification frontier, transaction costs, market impact, selection heuristics, systematic risk, idiosyncratic risk, principal component analysis, principal portfolios, r-square, risk contributions, random matrix theory

7.

Review of Discrete and Continuous Processes in Finance: Theory and Applications

Number of pages: 33 Posted: 05 Apr 2009 Last Revised: 06 Dec 2010
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 8,367 (304)
Citation 3

Abstract:

invariants, random walk, Levy processes, autocorrelation, ARMA, Ornstein-Uhlenbeck, Heston, CIR, jumps, long memory, fractional integration, fractional Brownian motion, volatility clustering, GARCH, stochastic volatility, subordination, real measure, risk-neutral measure, fat tails

8.

Quant Nugget 2: Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management

GARP Risk Professional, pp. 49-51, April 2010
Number of pages: 5 Posted: 09 Apr 2010 Last Revised: 15 Nov 2010
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 7,345 (307)
Citation 3

Abstract:

9.

Factors on Demand: Building a Platform for Portfolio Managers, Risk Managers and Traders

Risk, Vol. 23, No.7, p. 84-89
Number of pages: 28 Posted: 08 Mar 2010 Last Revised: 11 Oct 2010
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 6,850 (475)
Citation 2

Abstract:

factor models, regression, estimation, attribution, copula, random matrix theory, style analysis, optimal hedging, selection heuristics, GICS industry classification, Monte Carlo, cross-sectional models, time-series models, statistical models, factor analysis

10.

'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance

GARP Risk Professional, pp. 47-50, February 2011
Number of pages: 8 Posted: 23 Jan 2011
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 6,684 (348)
Citation 1

Abstract:

Risk Neutral, Real Measure, Sell-Side, Buy-Side, Asset Pricing, No-Arbitrage, Martingale, Calibration, Estimation, Ito Calculus, PDE, Time-Series, Econometric, Portfolio Theory, Delta-Hedging, Alpha, Statistical Arbitrage, Levy Processes, ARMA, Ornstein-Uhlenbeck, GARCH, Stochastic, Heston

11.

Beyond Black-Litterman in Practice: A Five-Step Recipe to Input Views on Non-Normal Markets

Number of pages: 15 Posted: 29 Dec 2005
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 5,758 (649)
Citation 12

Abstract:

opinion pooling, views, copula, skewness, fat tails, Bayesian prior, posterior, Monte Carlo, quantitative portfolio management, asset allocation, CVaR, expected shortfall, Student t copula, non-parametric estimation

12.

Enhancing the Black-Litterman and Related Approaches: Views and Stress-Test on Risk Factors

Number of pages: 11 Posted: 10 Aug 2008 Last Revised: 11 Oct 2010
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 4,878 (943)
Citation 6

Abstract:

scenario analysis, option trading, views on macro factors, non mean-variance optimization

13.

A Short, Comprehensive, Practical Guide to Copulas

GARP Risk Professional, p. 22-27, October 2011
Number of pages: 12 Posted: 09 Sep 2011
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 4,553 (834)

Abstract:

marginal, Sklar’s theorem, grade, co-monotonic, linear returns, compounded returns, unit cube, scenarios-probabilities, pdf, cdf, quantile, copula-marginal-algorithm

14.

A New Breed of Copulas for Risk and Portfolio Management

Risk, Vol. 24, No. 9, pp. 122-126, 2011
Number of pages: 17 Posted: 13 May 2011 Last Revised: 28 Aug 2011
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 4,314 (992)

Abstract:

panic copula, copula transformations, Archimedean, elliptical, Student t, non-parametric, scenarios-probabilities, empirical distribution, entropy pooling, importance sampling, grade, unit cube

15.

Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids

GARP Risk Professional, pp. 52-53, February 2010
Number of pages: 4 Posted: 04 Feb 2010 Last Revised: 14 May 2011
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 4,031 (1,211)

Abstract:

location, dispersion, diffusion, random walk, invariants, i.i.d.

16.

Review of Dynamic Allocation Strategies: Utility Maximization, Option Replication, Insurance, Drawdown Control, Convex/Concave Management

Number of pages: 24 Posted: 23 Sep 2010 Last Revised: 12 Feb 2013
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 3,730 (1,319)
Citation 1

Abstract:

CPPI, OBPI, drawdown control, option replication, dynamic programming, Hamilton-Jacobi-Bellman equation, Pontryagin principle, geometric Brownian motion, power utility, constant exposure portfolio, buy-and-hold

17.

Quant Nugget 3: Common Misconceptions About 'Beta' - Hedging, Estimation and Horizon Effects

GARP's Risk Professional Magazine, June 2010
Number of pages: 6 Posted: 03 Jun 2010 Last Revised: 11 Oct 2010
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 3,463 (1,566)

Abstract:

Factors on Demand, hedging, factors, exposures

18.

Quant Nugget 4: Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics

GARP Risk Professional - "The Quant Classroom," pp. 59-63, August 2010
Number of pages: 8 Posted: 14 Jul 2010 Last Revised: 11 Oct 2010
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 3,297 (1,474)
Citation 3

Abstract:

Square-Root Rule, Higher Moments, Cumulants

19.

Beyond Black-Litterman: Views on Non-Normal Markets

Number of pages: 19 Posted: 16 Nov 2005
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 3,092 (1,924)
Citation 4

Abstract:

opinion pooling, copula, views, fat tails, Bayesian prior, posterior, Monte Carlo, quantitative portfolio management, asset allocation, skew t distribution, CVaR, expected shortfall

20.

Robust Bayesian Allocation

Number of pages: 18 Posted: 03 Apr 2005 Last Revised: 14 May 2011
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 3,066 (1,940)
Citation 1

Abstract:

estimation risk, Bayesian estimation, MCMC, robust optimization, location-dispersion ellipsoid, classical equivalent, shrinkage, global minimum variance portfolio, equally-weighted portfolio, quantitative portfolio management

21.

Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors

Number of pages: 18 Posted: 11 Aug 2013 Last Revised: 11 Nov 2015
Attilio Meucci, Alberto Santangelo and Romain Deguest
ARPM - Advanced Risk and Portfolio Management, Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi and Fundvisory
Downloads 3,023 (1,373)
Citation 1

Abstract:

Effective Number of Bets, PCA, Diversification Distribution, Marginal Risk Contributions, Procrustes Problem

22.

Historical Scenarios with Fully Flexible Probabilities

GARP Risk Professional, pp. 47-51, December 2010
Number of pages: 15 Posted: 14 Nov 2010 Last Revised: 18 May 2011
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 2,835 (2,107)
Citation 6

Abstract:

Exponential Smoothing, Kernel Smoothing, Parametric VaR, Monte Carlo Simulations, Stress-Test, Fully Flexible Views, Entropy Pooling, Multivariate Histogram, Empirical Distribution, Dirac Delta, Kullback-Leibler Divergence

23.

Fully Integrated Liquidity and Market Risk Model

Financial Analysts Journal, Forthcoming
Number of pages: 22 Posted: 13 May 2011 Last Revised: 20 Feb 2013
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 2,496 (2,526)

Abstract:

market impact, optimal execution, order book, crowding, fully flexible probabilities, entropy pooling, marginal contributions

24.

Quant Nugget 5: Return Calculations for Leveraged Securities and Portfolios

GARP Risk Professional, pp. 40-43, October 2010
Number of pages: 7 Posted: 12 Sep 2010 Last Revised: 15 Nov 2010
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 2,284 (2,924)
Citation 2

Abstract:

Leverage, portfolio weights, swaps, futures, risk-adjusted performance attribution, hierarchical portfolios, conditional probability

25.

Simulations with Exact Means and Covariances

Number of pages: 8 Posted: 08 Jun 2009 Last Revised: 11 Oct 2010
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 2,143 (4,018)
Citation 3

Abstract:

matrix Riccati equation, antithetic variables, affine equivariance, affine transformations, copula-marginal factorization, correlation stress-testing

26.

Stress-Testing with Fully Flexible Causal Inputs

Risk, 25, 4, p. 61-65 (2012)
Number of pages: 13 Posted: 07 Dec 2010 Last Revised: 11 Oct 2012
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 2,125 (3,439)

Abstract:

Contagion, Bayesian network, entropy pooling, non-Boolean variables, prior distribution, posterior distribution, linear programming, convex programming, dual optimization, 'Fully Flexible'

27.

Estimation of Structured T-Copulas

Number of pages: 7 Posted: 29 Apr 2008
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 1,828 (5,474)

Abstract:

isotropy, shrinkage, structured correlation, estimation-maximization, maximum likelihood, radial generator

28.

Portfolio Construction and Systematic Trading with Factor Entropy Pooling

Risk Magazine, Vol. 27, No. 5, pp. 56-61, 2014
Number of pages: 36 Posted: 13 May 2011 Last Revised: 25 Aug 2014
Attilio Meucci, David Ardia and Marcello Colasante
ARPM - Advanced Risk and Portfolio Management, University of Neuchatel - Institute of Financial Analysis and SYMMYS
Downloads 1,713 (3,946)
Citation 1

Abstract:

Trading signals, tactical allocation, Black-Litterman, equilibrium prior, shrinkage, risk management, Entropy Pooling, factor models, inequality views, portfolios from sorts, ranking, Kullback-Leibler

29.

Risk Contributions from Generic User-Defined Factors

The Risk Magazine, pp. 84-88, June 2007
Number of pages: 15 Posted: 22 Sep 2008 Last Revised: 26 Aug 2010
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 1,600 (6,589)
Citation 4

Abstract:

risk attribution, marginal contributions, Euler identity, risk factorization, volatility, tracking error, expected shortfall, positive homogeneous risk measures, principal component analysis, regression analysis

30.

Fully Flexible Extreme Views

Journal of Risk, Vol. 14, No. 2, pp. 39-49, Winter 2011/2012
Number of pages: 11 Posted: 25 Jan 2010 Last Revised: 12 Jan 2012
Attilio Meucci, David Ardia and Simon Keel
ARPM - Advanced Risk and Portfolio Management, University of Neuchatel - Institute of Financial Analysis and Aeris Capital AG
Downloads 1,556 (6,577)
Citation 1

Abstract:

Entropy Pooling, Kullback-Leibler, Black-Litterman, VaR, CVaR, grid-probability pair, Monte Carlo, Gauss-Hermite polynomials, Newton-Raphson, kernel estimator

31.

Neither 'Normal' nor 'Lognormal': Modeling Interest Rates Across All Regimes

Financial Analysts Journal, Vol. 72, No. 3, 2016
Number of pages: 21 Posted: 24 Nov 2013 Last Revised: 20 Apr 2016
Attilio Meucci and Angela Loregian
ARPM - Advanced Risk and Portfolio Management and SYMMYS
Downloads 1,463 (4,496)

Abstract:

rates as options, Black rates model, shadow rates, American option, perpetual option, call option, Bachelier process, VAR(1), term structure, yield curve, risk drivers, quest for invariance, projection

32.

Linear Factor Models: Theory, Applications and Pitfalls

Number of pages: 51 Posted: 21 Nov 2014 Last Revised: 08 Dec 2014
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 1,399 (3,907)

Abstract:

generalized r-square, fundamental factor models, macroeconomic factor models, factor analysis, regression, random matrix theory, GICS industry classification, cross-sectional models, time-series models, statistical models

33.

Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions

Number of pages: 41 Posted: 18 Nov 2013
Romain Deguest, Lionel Martellini and Attilio Meucci
Fundvisory, EDHEC Business School and ARPM - Advanced Risk and Portfolio Management
Downloads 991 (9,666)

Abstract:

portfolio choice, risk parity, diversification, concentration, principal component analysis

34.

Estimation and Stress-Testing via Time- and Market-Conditional Flexible Probabilities

Number of pages: 12 Posted: 19 Aug 2013 Last Revised: 01 Jan 2014
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 884 (11,353)

Abstract:

Effective number of scenarios, crisp conditioning, kernel conditioning, ensemble, historical scenarios, full-repricing, exponential smoothing, exponential kernel, Gaussian kernel, Bhattacharyya coefficient, Hellinger distance, UPGMA

35.

Mixing Probabilities, Priors and Kernels via Entropy Pooling

GARP Risk Professional, pp. 32-36, December 2011
Number of pages: 12 Posted: 01 Feb 2012
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 711 (21,928)
Citation 1

Abstract:

Black-Litterman, effective number of scenarios, fuzzy membership, Mahalanobis distance, pseudo-Gaussian kernel, crisp conditioning, exponential decay, machine learning

36.

Effective Number of Scenarios in Fully Flexible Probabilities

GARP Risk Professional, pp. 32-35, February 2012
Number of pages: 7 Posted: 01 Feb 2012
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 699 (22,310)

Abstract:

Stress-testing, estimation risk, Entropy Pooling, fuzzy membership, Mahalanobis distance, kernel smoothing, state conditioning, diversification

37.

Dynamic Portfolio Management with Views at Multiple Horizons

Number of pages: 33 Posted: 24 Mar 2015 Last Revised: 17 Apr 2015
Attilio Meucci and Marco Nicolosi
ARPM - Advanced Risk and Portfolio Management and University of Perugia - Department of Economics
Downloads 688 (8,328)

Abstract:

dynamic strategies, discretionary allocation, mean-reversion, multivariate Ornstein-Uhleneck, Kullback Leibler divergence, relative entropy, optimal policy, dynamic programming, calculus of variations

38.

Parametric Stress-Testing in Non-Normal Markets via Copula-Marginal Entropy Pooling

Risk Magazine, June 2015
Number of pages: 23 Posted: 23 Jun 2014 Last Revised: 05 Aug 2015
David Ardia and Attilio Meucci
University of Neuchatel - Institute of Financial Analysis and ARPM - Advanced Risk and Portfolio Management
Downloads 379 (36,458)

Abstract:

Entropy Pooling, Kullback-Leibler, copula-marginal, stress-test, risk