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Risk and Asset Allocation

Name: Risk and Asset Allocation
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 01559485
Price: 115.29 EUR
Availability: InStock
Author: Attilio Meucci
ISBN: 9783540222132

Attilio Meucci

Language

English

Book Hardback

Libristo code: 01559485

Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, June 2007

This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundat... Full description

Libristo code: 01559485

282 b

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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.