ATTILIO MEUCCI RISK AND ASSET ALLOCATION PDF
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. .
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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.
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.
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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.
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