ATTILIO MEUCCI RISK AND ASSET ALLOCATION PDF

0 Comments

Ch 9: Estimation risk and allocation optimization (Bayes, Black-Litterman, Python and MATLAB code for advanced risk and portfolio management, see here . Risk and Asset Allocation has 24 ratings and 3 reviews. Max said: Not a bad book, but not what I was looking for. The book has extensive coverage of dist. mathematical finance but foreign exchanges, term structure, risk management, portfolio theory Attilio Meucci. Risk and. Asset Allocation. With Figures. .

Author: Akinom Dorg
Country: Niger
Language: English (Spanish)
Genre: Sex
Published (Last): 16 March 2010
Pages: 462
PDF File Size: 3.93 Mb
ePub File Size: 19.29 Mb
ISBN: 717-5-38552-937-7
Downloads: 55532
Price: Free* [*Free Regsitration Required]
Uploader: Taugrel

Goodreads helps you keep track of books you want to read.

Want to Read saving…. Want to Read Currently Reading Read.

Refresh and try again. Open Preview See a Problem?

Thanks for telling us about the problem. Return to Book Page. Risk and Asset Allocation by Attilio Meucci. 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, e This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments. 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.

Risk and Asset Allocation by Attilio Meucci

More materials and complete reviews can also be found at symmys. Published June 8th by Springer first published January 1st To see what your friends thought of this book, please sign up. To ask other readers questions about Risk and Asset Allocationplease sign up. Be the first to ask a question about Risk and Asset Allocation.

  ERISIPELA RECURRENTE PDF

Lists with This Book. This book is not yet featured on Atttilio. Jul 20, Max Lybbert rated it liked it. Not a bad book, but not what I was looking for.

The book has extensive coverage of distributions normal, lognormal, Cauchy, Student’s t, Chi, Wishartfactor models, common mistakes people make with factor models, mean-variance optimization, Bayesian analysis, Black-Litterman, estimation error, etc.

It covers topics I didn’t know exist. Easily includes more than a thousand equations, most discussed in detail. But, it’s not always obvious which ones represent something that should be calculated, Not a bad book, but not what I was looking for.

Risk and Asset Allocation

But, it’s not always obvious which ones represent something that should be calculated, and which represent idealized functions. Personally, I prefer William Sharpe’s abandoned textbookalthough Sharpe covers less ground. Jun 09, Frank Ashe rated it it was ok Shelves: But then this isn’t aimed at the general audience, it’s aimed at the people who want to bring a lot of mathematics to the idea of portfolio construction.

For a more practical approach to the same problems, call me. Buy this as a reference jeucci if you like portfolio construction as a branch of pure maths. I’ve got a PhD in maths, so it’s not the depth that bothers attipio, it’s the use of the maths.

David rated it really liked it Jul 31, Christian Lauron rated assset liked it Sep 04, Steven Resman rated it really liked it Feb 25, Brandon Wright rated it liked it Jun 01, Alexander rated it really liked it Mar 19, ane Joseph L D’Anna rated it really liked it Jul alllocation, Platzer Peter rated it liked it Feb 12, Henry rated it really liked meuccci Nov 12, Fabio rated it really liked it May 26, Brian Peterson rated it it was amazing Nov 02, Nathaniel Forde mrucci it it was amazing Jan 06, Samprabhu Rubandhas rated it it was amazing Apr 11, Private rated it really liked it Jul 27, Piotr rated it liked it May 13, Phil rated it really alpocation it Jan 06, Casey Conger rated it it was amazing Dec 03, Keven Bluteau rated it it was amazing Apr 30, Shin Furuya rated it really liked it Aug 08, Sep 17, Joris Esch rated it it allocatiln amazing.

  JORDI PUIGVERT EVOLUTION PDF

Meucci offers the best available mathematical finance foundation applicable to the investment industry buy-side. Mike rated it really liked it May 10, Adam rated it really liked it Mar 12, Dimitris added it Jan 17, Joseph added it Jul 25, Luc Basescu added it Aug 04, Vaani marked it as to-read Oct 26, Xiaoyu Ouyang added it Jun 10, Li Li marked it as to-read Jun 10, Attilil Booher marked it as to-read Mar 09, Mountainking allocatlon it Jun 02, Victor marked it as to-read Oct 31, Wolfgang marked it as to-read Feb 14, Jean is currently reading it Feb 27, Timchiang marked it as to-read Apr 20, Joshua Knechtel added it Apr 27, Mike marked it as to-read Jun 08, Anton marked it as to-read Aug 23, Aborodya is currently reading it Sep 20, Victor added it Dec 26, Daniel marked it as to-read Jan 12, John Smith marked it as to-read Feb 01, Holidaylalala marked it as to-read Sep 19, Justas Azna marked it as to-read Nov 28, Thomas Martins marked it as to-read Feb 21, Cristiano Medeiros marked it as to-read Apr 06, Jake marked it as to-read Apr 20, Saurabh Jain marked it as to-read May 01, Steve marked it as to-read Nov 11, There are no discussion topics on this book yet.

If you like books and love to build cool products, we may be looking for you.

Books by Attilio Meucci. Trivia About Risk and Asset Al No trivia or quizzes yet. Just a moment while we sign you in to your Goodreads account.