Table of Contents

Summary

Extend the functionality of key ReturnAnalytics packages with the current research of Attilio Meucci, a thought leader in risk and portfolio management.

Description

Attilio Meucci is a pioneer in advanced risk and portfolio management. His innovations include Entropy Pooling (technique for fully flexible portfolio construction), Factors on Demand (on-the-fly factor model for optimal hedging), Effective Number of Bets (entropy-eigenvalue statistic for diversification management), Fully Flexible Probabilities (technique for on-the-fly stress-test and estimation without re-pricing), and Copula-Marginal Algorithm (algorithm to generate panic copulas). Attilio Meucci serves as the chief risk officer at Kepos Capital LP. Concurrently, he is adjunct professor at the Master’s in Financial Engineering – Baruch College - CUNY.

Attilio has included Matlab code, some of which requires the additional Optimization Toolkit, alongside his key papers to better demonstrate the concepts. We would like to convert that code to R to make it more widely assessible.

Beyond the initial conversion, we will functionalize key aspects of that code and consider including functions in PerformanceAnalytics, PortfolioAnalytics, or developing a package around one or more of the concepts described above, starting with the Effective Number of Bets.

PerformanceAnalytics is an R package that provides a collection of econometric functions for performance and risk analysis. PortfolioAnalytics is an extensible business-focused framework for portfolio optimization and analysis.

References

  • Meucci, Attilio, Managing Diversification (April 1, 2010). Risk, pp. 74-79, May 2009; Bloomberg Education & Quantitative Research and Education Paper. Available at SSRN: http://ssrn.com/abstract=1358533
  • Meucci, Attilio, Factors on Demand, Building a Platform for Portfolio Managers, Risk Managers and Traders

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1565134

  • Meucci, Attilio, Risk and Asset Allocation. Springer Finance (2005) ISBN: 3540222138

Test

The successful applicant will demonstrate proficiency with both Matlab and R. Within R, the candidate should show proficiency with xts and PerformanceAnalytics or PortfolioAnalytics. This could be via identifying a patch or extension, providing a new demo script for the one of the packages that would show understanding of the functionality provided, or by doing a detailed proposal with pseudocode for one or more potential enhancements to the toolchain. The ideal candidate would also demonstrate prior interest or experience in finance.

Mentor

Brian Peterson is one of the primary authors of these packages, and has previously mentored GSoC projects.

Peter Carl is one of the primary authors of these related packages, and would mentor the GSOC participant. 2012-02-24

 
developers/projects/gsoc2012/meucci.txt · Last modified: 2012/03/24 by braverock
 
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