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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.

Posted by John Dodson at 11:06 PM | | Comments (0)

October 18, 2007

TGARCH tutorial

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

Posted by John Dodson at 11:02 PM | | Comments (1)

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.

Posted by John Dodson at 08:55 PM | | Comments (1)

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" »

Posted by John Dodson at 09:39 PM | | Comments (0)

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.

Posted by John Dodson at 10:55 PM | | Comments (0)

DIrectory for Lab files

The files we use in the lab such as the M-file for binomial() will be kept in the directory http://www.math.umn.edu/~dodso013/fm503/docs/.

Posted by John Dodson at 08:31 AM | | Comments (0)

September 06, 2007

Classroom Exercise

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


sscanf(urlread('http://www.math.umn.edu/~dodso013/fm503/case1.dat'),'%f')


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!

Posted by John Dodson at 06:50 AM | | Comments (0)

Quiz

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.

Posted by John Dodson at 06:47 AM | | Comments (0)

May 10, 2007

Comments

Feel free to leave comments for the instructor and other visitors.

Posted by John Dodson at 08:35 AM | | Comments (2)

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