http://www.arpm.co/
ARPM - Advanced Risk and Portfolio Management
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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
estimation risk, shrinkage estimation, decision theory
alpha, z-score, signal, half-life, vector-autoregression (VAR), moving average (MA), VARMA, stationary, unit-root, mean-reversion, Levy processes
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
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
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
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
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
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
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
marginal, Sklar’s theorem, grade, co-monotonic, linear returns, compounded returns, unit cube, scenarios-probabilities, pdf, cdf, quantile, copula-marginal-algorithm
Effective Number of Bets, PCA, Diversification Distribution, Marginal Risk Contributions, Procrustes Problem
panic copula, copula transformations, Archimedean, elliptical, Student t, non-parametric, scenarios-probabilities, empirical distribution, entropy pooling, importance sampling, grade, unit cube
Square-Root Rule, Higher Moments, Cumulants
scenario analysis, option trading, views on macro factors, non mean-variance optimization
location, dispersion, diffusion, random walk, invariants, i.i.d.
opinion pooling, copula, views, fat tails, Bayesian prior, posterior, Monte Carlo, quantitative portfolio management, asset allocation, skew t distribution, CVaR, expected shortfall
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
estimation risk, Bayesian estimation, MCMC, robust optimization, location-dispersion ellipsoid, classical equivalent, shrinkage, global minimum variance portfolio, equally-weighted portfolio, quantitative portfolio management
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
Factors on Demand, hedging, factors, exposures
Trading signals, tactical allocation, Black-Litterman, equilibrium prior, shrinkage, risk management, Entropy Pooling, factor models, inequality views, portfolios from sorts, ranking, Kullback-Leibler
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
market impact, optimal execution, order book, crowding, fully flexible probabilities, entropy pooling, marginal contributions
Leverage, portfolio weights, swaps, futures, risk-adjusted performance attribution, hierarchical portfolios, conditional probability
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
Contagion, Bayesian network, entropy pooling, non-Boolean variables, prior distribution, posterior distribution, linear programming, convex programming, dual optimization, 'Fully Flexible'
matrix Riccati equation, antithetic variables, affine equivariance, affine transformations, copula-marginal factorization, correlation stress-testing
Entropy Pooling, Kullback-Leibler, Black-Litterman, VaR, CVaR, grid-probability pair, Monte Carlo, Gauss-Hermite polynomials, Newton-Raphson, kernel estimator
dynamic strategies, discretionary allocation, mean-reversion, multivariate Ornstein-Uhleneck, Kullback Leibler divergence, relative entropy, optimal policy, dynamic programming, calculus of variations
risk attribution, marginal contributions, Euler identity, risk factorization, volatility, tracking error, expected shortfall, positive homogeneous risk measures, principal component analysis, regression analysis
isotropy, shrinkage, structured correlation, estimation-maximization, maximum likelihood, radial generator
Effective number of scenarios, crisp conditioning, kernel conditioning, ensemble, historical scenarios, full-repricing, exponential smoothing, exponential kernel, Gaussian kernel, Bhattacharyya coefficient, Hellinger distance, UPGMA
Stress-testing, estimation risk, Entropy Pooling, fuzzy membership, Mahalanobis distance, kernel smoothing, state conditioning, diversification
Black-Litterman, effective number of scenarios, fuzzy membership, Mahalanobis distance, pseudo-Gaussian kernel, crisp conditioning, exponential decay, machine learning
Entropy Pooling, Kullback-Leibler, copula-marginal, stress-test, risk
Minimum Relative Entropy, Kullback-Leibler, Hamiltonian Monte Carlo, Flexible Probabilities, Exponential-Family Distributions
portfolio choice, risk parity, diversification, concentration, principal component analysis
