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Book synopsis

This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments.§§Multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, and very general Bayesian techniques. Evaluation methods such as stochastic dominance, expected utility, value at risk and coherent measures are thoroughly discussed in a unified setting and applied in a variety of contexts, including prospect theory, total return and benchmark allocation. §Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust optimization techniques.§§All the statistical and mathematical tools, such as copulas, location-dispersion ellipsoids, matrix-variate distributions, cone programming, are introduced from the basics. Comprehension is supported by a large number of figures and examples, as well as real trading and asset management case studies.§§At symmys.com the reader will find freely downloadable complementary materials: the Exercise Book; a set of thoroughly documented MATLAB® applications; and the Technical Appendices with all the proofs. More materials and complete reviews can also be found at symmys.com.

Book details

Book category Books in English Mathematics & science Mathematics Algebra

• Full title: Risk and Asset Allocation
• Author: Attilio Meucci
• Language: English
• Binding: Paperback
• Number of pages: 532
• EAN: 9783642009648
• ISBN: 3642009646
• ID: 01248686
• Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Weight: 824 g
• Dimensions: 236 × 158 × 29 mm
• Date of publishing: 22. May 2009

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