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
Attilio Meucci (2021). Factors on Demand (https://www.mathworks.com/matlabcentral/fileexchange/26853-factors-on-demand), MATLAB Central File Exchange. Retrieved .
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