February 27, 2008

Re-sampled allocation example

I put my version of the MATLAB demonstration of the Michaud re-sampled allocation from the lab this evening in the docs folder for your reference.

October 18, 2007

TGARCH tutorial

I have posted a brief tutorial on the TGARCH model for timeseries conditional heteroskedasticity.

October 04, 2007

Historical Simulation

I have updated the case from yesterday to demonstrate the failure of the Cholesky method for simulating large vectors, and the alternate historical simulation method. I have also posted a note defining and justifying the method.

September 19, 2007

First Assigment

I have posted two versions of the solutions I worked, one in Mathematica 6.0 and the other in MATLAB R2007b. If you need me to re-work the Mathematica solution for a previous version, please let me know. In both cases, I used trial and error to identify that the optimal portfolio was 55% risky asset and 45% riskless asset.

Continue reading "First Assigment" »

September 13, 2007

Taxonomy of classical distributions

Here is the diagram that I shared in class from Casella & Berger that shows the relationships between the major classical distributions.

DIrectory for Lab files

The files we use in the lab such as the M-file for binomial() will be kept in the directory

September 06, 2007

Classroom Exercise

You can load a sample of random variables into MATLAB using the command


These are drawn uniformly between zero and some unknown upper bound. Please provide an interval estimate for the upper bound.

The objective is to have the narrowest interval that includes the true value. This is a contest; the winning team members will take home a Sven & Ole's bumper sticker!


The quiz solution is available.

You can use the MATLAB command

ezmeshc(@(x,y)(x+y)./(1+x.*x+y.*y),([-3 3 -3 3]))

to take a quick look at the function in problems three and four.

Please take a look at the practice quiz that I will collect during the first session.

May 10, 2007


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