[Returnanalytics-commits] r3009 - pkg/Meucci/demo
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fri Sep 6 10:34:13 CEST 2013
Author: xavierv
Date: 2013-09-06 10:34:12 +0200 (Fri, 06 Sep 2013)
New Revision: 3009
Modified:
pkg/Meucci/demo/00Index
pkg/Meucci/demo/FullyIntegratedLiquidityAndMarketRisk.R
pkg/Meucci/demo/S_CornishFisher.R
Log:
- updated Index for demo scripts beggining up to S_D
Modified: pkg/Meucci/demo/00Index
===================================================================
--- pkg/Meucci/demo/00Index 2013-09-06 08:03:44 UTC (rev 3008)
+++ pkg/Meucci/demo/00Index 2013-09-06 08:34:12 UTC (rev 3009)
@@ -1,20 +1,91 @@
-AnalyticalvsNumerical This example script compares the numerical and the analytical solution of entropy-pooling
-ButterflyTrading This example script performs the butterfly-trading case study for the Entropy-Pooling approach by Attilio Meucci
-DetectOutliersviaMVE This example script detects outliers in two-asset and multi-asset case
-FullyFlexibleBayesNets This case study uses Entropy Pooling to compute Fully Flexible Bayesian networks for risk management
-HermiteGrid_CaseStudy This script estimates the prior of a hedge fund return and processes extreme views on CVaR according to Entropy Pooling
-HermiteGrid_CVaR_Recursion This script illustrates the discrete Newton recursion to process views on CVaR according to Entropy Pooling
-HermiteGrid_demo This script compares the performance of plain Monte Carlo versus grid in applying Entropy Pooling to process extreme views
-InvariantProjection This script projects summary statistics to arbitrary horizons under i.i.d. assumption
-logToArithmeticCovariance This example script generates arithmetric returns and arithmetric covariance matrix given a distribution of log returns
-Prior2Posterior This example script compares the numerical and the analytical solution of entropy-pooling
-RankingInformation This script performs ranking allocation using the Entropy-Pooling approach by Attilio Meucci
-RobustBayesianAllocation This script replicates the example from Meucci's MATLAB script S_SimulationsCaseStudy.M
+AnalyticalvsNumerical This example script compares the numerical and the analytical solution of entropy-pooling
+ButterflyTrading This example script performs the butterfly-trading case study for the Entropy-Pooling approach by Attilio Meucci
+DetectOutliersviaMVE This example script detects outliers in two-asset and multi-asset case
+FullyFlexibleBayesNets This case study uses Entropy Pooling to compute Fully Flexible Bayesian networks for risk management
+FullFlexProbs This script uses Entropy Pooling to compute Fully Flexible Probabilities for historical scenarios
+FullyIntegratedLiquidityAndMarketRisk This script computes the liquidity-risk and funding-risk adjusted P&L distribution
+HermiteGrid_CaseStudy This script estimates the prior of a hedge fund return and processes extreme views on CVaR according to Entropy Pooling
+HermiteGrid_CVaR_Recursion This script illustrates the discrete Newton recursion to process views on CVaR according to Entropy Pooling
+HermiteGrid_demo This script compares the performance of plain Monte Carlo versus grid in applying Entropy Pooling to process extreme views
+InvariantProjection This script projects summary statistics to arbitrary horizons under i.i.d. assumption
+logToArithmeticCovariance This example script generates arithmetric returns and arithmetric covariance matrix given a distribution of log returns
+Prior2Posterior This example script compares the numerical and the analytical solution of entropy-pooling
+RankingInformation This script performs ranking allocation using the Entropy-Pooling approach by Attilio Meucci
+RobustBayesianAllocation This script replicates the example from Meucci's MATLAB script S_SimulationsCaseStudy.M
+S_AnalyzeLognormalCorrelation This script considers a bivariate lognormal market and display the correlation and the condition number of the covariance matrix
+S_AnalyzeNormalCorrelation This script considers a bivariate normal market and display the correlation and the condition number of the covariance matrix
+S_AnalyzeNormalInverseWishart This script familiarizes the users with multivariate Bayesian estimation.
+S_AutocorrelatedProcess This script simulates a Ornstein-Uhlenbeck AR(1) process
+S_BivariateSample This script generates draws from a bivariate distribution with different marginals
+S_BlackLittermanBasic This script describes to basic market-based Black-Litterman approach
+S_BondProjectionPricingNormal This script projects the distribution of the market invariants for the bond markets from the estimation interval to the investment horizon
+S_BondProjectionPricingStudentT This script projects the distribution of the market invariants for the bond markets from the estimation interval to the investment horizon (Student's T assumption)
+S_BuyNHold This script illustrates the buy & hold dynamic strategy
+S_CPPI This script illustrates the CPPI (constant proportion portfolio insurance) dynamic strategy
+S_CallsProjectionPricing This script projects the distribution of the market invariants for the derivatives market and computes the distribution of prices at the investment horizon
+S_CheckDiagonalization This script verifies the correctness of the eigenvalue-eigenvector representation in terms of real matrices for the transition matrix of an OU process
+S_CornishFisher This script compares the Cornish-Fisher estimate of the VaR with the true analytical VaR under the lognormal assumptions
+S_CorrelationPriorUniform This script shows how a jointly uniform prior on the correlations implies that the marginal distribution of each correlation is peaked around zero
+S_CovarianceEvolution This script represents the evolution of the covariance of an OU process in terms of the dispersion ellipsoid
+S_CrossSectionConstrainedIndustries This script fits a cross-sectional linear factor model creating industry factors, where the industry factors are constrained to be uncorrelated with the market
+S_CrossSectionIndustries This script fits a cross-sectional linear factor model creating industry factors
+S_DerivativesInvariants
+S_DisplayLognormalCopulaPdf
+S_DisplayNormalCopulaCdf
+S_DisplayNormalCopulaPdf
+S_DisplayStudentTCopulaPdf
+S_ESContributionFactors
+S_ESContributionsStudentT
+S_EigenvalueDispersion
+S_EllipticalNDim
+S_EquitiesInvariance
+S_EquitiesInvariants
+S_EquityProjectionPricing
+S_EstimateExpectedValueEvaluation
+S_EstimateMomentsComboEvaluation
+S_EstimateQuantileEvaluation
+S_Estimator
+S_EvaluationGeneric
+S_ExactMeanAndCovariance
+S_ExpectationMaximizationHighYield
+S_ExtremeValueTheory
+S_FactorAnalysisNotOk
+S_FactorResidualCorrelation
+S_FitSwapToStudentT
+S_FixedIncomeInvariants
+S_FullCodependence
+S_FxCopulaMarginal
+S_GenerateMixtureSample
+S_HedgeOptions
+S_HorizonEffect
+S_InvestorsObjective
+S_JumpDiffusionMerton
+S_LinVsLogReturn
+S_LognormalSample
+S_MarkovChainMonteCarlo
+S_MaxMinVariance
+S_MaximumLikelihood
+S_MeanVarianceBenchmark
+S_MeanVarianceCalls
+S_MeanVarianceHorizon
+S_MeanVarianceOptimization
+S_MultiVarSqrRootRule
+S_NonAnalytical
+S_NormalSample
+S_OrderStatisticsPdfLognormal
+S_OrderStatisticsPdfStudentT
+S_PasturMarchenko
+S_ProjectNPriceMvGarch
+S_ProjectSummaryStatistics
+S_PureResidualBonds
+S_ResidualAnalysisTheory
+S_SelectionHeuristics
+S_SemiCircular
+S_ShrinkageEstimators
S_plotGaussHermite This example script displays mesh points based on Gaussian-Hermite quadrature
-S_SnPCaseStudy This script replicates the example from Meucci's MATLAB script S_SnPCaseStudy.M
+S_SnPCaseStudy This script replicates the example from Meucci's MATLAB scriptS_SnPCaseStudy.M
S_ToyExample This toy example illustrates the use of Entropy Pooling to compute Fully Flexible Bayesian networks
S_FitProjectRates This script fits the swap rates dynamics to a multivariate Ornstein-Uhlenbeck process and computes and plots the estimated future distribution
-S_CheckDiagonalization This script verifies the correctness of the eigenvalue-eigenvector representation in terms of real matrices for the transition matrix of an OU process
-S_CovarianceEvolution This script represents the evolution of the covariance of an OU process in terms of the dispersion ellipsoid
+
S_DeterministicEvolution This script animates the evolution of the determinstic component of an OU process
MeanDiversificationFrontier This script computes the mean-diversification efficient frontier
Modified: pkg/Meucci/demo/FullyIntegratedLiquidityAndMarketRisk.R
===================================================================
--- pkg/Meucci/demo/FullyIntegratedLiquidityAndMarketRisk.R 2013-09-06 08:03:44 UTC (rev 3008)
+++ pkg/Meucci/demo/FullyIntegratedLiquidityAndMarketRisk.R 2013-09-06 08:34:12 UTC (rev 3009)
@@ -1,4 +1,4 @@
-#'This his script computes the liquidity-risk and funding-risk adjusted P&L distribution, as described in
+#' This script computes the liquidity-risk and funding-risk adjusted P&L distribution, as described in
#' A. Meucci, "A Fully Integrated Liquidity and Market Risk Model", Financial Analyst Journal, 68, 6, 35-47 (2012)
#'
#' @references
Modified: pkg/Meucci/demo/S_CornishFisher.R
===================================================================
--- pkg/Meucci/demo/S_CornishFisher.R 2013-09-06 08:03:44 UTC (rev 3008)
+++ pkg/Meucci/demo/S_CornishFisher.R 2013-09-06 08:34:12 UTC (rev 3009)
@@ -1,4 +1,4 @@
-#'This script compares the Cornish-Fisher estiamte of the VaR with the true analytical VaR under the lognormal
+#'This script compares the Cornish-Fisher estimate of the VaR with the true analytical VaR under the lognormal
#'assumptions as described in A. Meucci,"Risk and Asset Allocation", Springer, 2005, Chapter 5.
#'
#' @references
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