Factors on Demand
Version 1.6.0.0 (4.08 MB) by
Attilio Meucci
Proper implementation of factor models: bottom-up estimation, top-down attribution
Three case studies: random matrix theory for estimation vs. cross-sectional model for attribution; hedging based on full-repricing instead of Black-Scholes deltas; heuristcs for best K attribution/hedging factors out N
To walk through the code and for a thorough description, see
Meucci A., "Factors on Demand",
Latest version of article and code available at http://symmys.com/node/164
Cite As
Attilio Meucci (2026). Factors on Demand (https://in.mathworks.com/matlabcentral/fileexchange/26853-factors-on-demand), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Created with
R2009a
Compatible with any release
Platform Compatibility
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- Computational Finance > Financial Toolbox > Portfolio Optimization and Asset Allocation >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Equity Derivatives >
Find more on Portfolio Optimization and Asset Allocation in Help Center and MATLAB Answers
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