Exercises in Advanced Risk and Portfolio Management (ARPM) with Solutions and Code
281 Pages Posted: 11 Aug 2009 Last revised: 8 Mar 2016
Date Written: August 15, 2010
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.
Keywords: 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
JEL Classification: C1, G11
Suggested Citation: Suggested Citation