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Risk and Asset Allocation (Springer Finance)

Attilio Meucci
4.9/5 (26003 ratings)
Read Now Download Now ⏭ listen AudioBook
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(r) applications; and the Technical Appendices with all the proofs. More materials and complete reviews can also be found at symmys.com.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Risk and Asset Allocation (Springer Finance). To get started finding Risk and Asset Allocation (Springer Finance), you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.
Pages
532
Format
PDF, EPUB & Kindle Edition
Publisher
—
Release
—
ISBN
3540222138

Risk and Asset Allocation (Springer Finance)

Attilio Meucci
4.4/5 (1290744 ratings)
Read Now Download now ⏭ listen AudioBook
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(r) applications; and the Technical Appendices with all the proofs. More materials and complete reviews can also be found at symmys.com.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Risk and Asset Allocation (Springer Finance). To get started finding Risk and Asset Allocation (Springer Finance), you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.
Pages
532
Format
PDF, EPUB & Kindle Edition
Publisher
—
Release
—
ISBN
3540222138

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