RISK AND ASSET ALLOCATION A.MEUCCI Księgarnia

About this book

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.

Written for:

Quantitative portfolio managers, graduate and undergraduate students in finance, economics, physics, statistics and mathematics

Keywords:

Asset allocation

Bayesian statistics

JEL classification: C1, C3, C5, C6, G0, G1

MSC (2000) 15-xx, 46-xx, 62-xx, 65-xx, 90-xx

estimation risk

performance evaluation

Table of contents

-Preface.

-One-dimensional Random Variables.

-Multi-dimensional Random Variables.

-Modelling the Market.

-Estimating the Invariants Distribution.

-Evaluating Allocations.

-Optimizing Allocations.

- Estimation and Optimization together.

- Appendices: Linear Algebra.

- Functional Analysis.

- References.

- Index

532 pages hardcover

Po otrzymaniu zamówienia poinformujemy,
czy wybrany tytuł polskojęzyczny lub anglojęzyczny jest aktualnie na półce księgarni.