Get 1 Year of unlimited Apress for $199
Instant access to all available titles and new releases Apress Access Subscription

Risk and Asset Allocation

By Attilio Meucci

  • eBook Price: $39.95
Buy eBook Buy Print Book

Risk and Asset Allocation Cover Image

This encyclopedic, detailed resource covers all the steps of one-period allocation from the foundations to the most advanced developments. It includes a large number of figures and examples as well as real trading and asset management case studies.

Full Description

  • Add to Wishlist
  • ISBN13: 978-3-6420-0964-8
  • 558 Pages
  • Publication Date: June 12, 2007
  • Available eBook Formats: PDF
Full Description
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.
Table of Contents

Table of Contents

  1. Preface.
  2. One
  3. dimensional Random Variables.
  4. Multi
  5. dimensional Random Variables.
  6. Modelling the Market.
  7. Estimating the Invariants Distribution.
  8. Evaluating Allocations.
  9. Optimizing Allocations.
  10. Estimation and Optimization together.
  11. Appendices: Linear Algebra.
  12. Functional Analysis.
  13. References.
  14. Index.
Errata

If you think that you've found an error in this book, please let us know by emailing to editorial@apress.com . You will find any confirmed erratum below, so you can check if your concern has already been addressed.
No errata are currently published

Best-Sellers

    1. Mathematical Cardiac Electrophysiology

      $99.00

      View Book

    2. A Modern Introduction to Probability and Statistics

      $39.95

      View Book

    3. Basic Modern Algebra with Applications

      $59.99

      View Book

    4. Dispersive Equations and Nonlinear Waves

      $39.99

      View Book