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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This book is not yet featured on Listopia. 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.
Nathaniel Forde rated it it was amazing Jan 06, David rated it really liked it Jul 31, Piotr rated it liked it May 13, If you like books and love to build cool products, we may be looking for you. Steven Resman rated it really liked it Feb 25, Christian Lauron rated it liked it Sep 04, Easily includes more than a thousand equations, most discussed in detail.
Return to Book Page. All the statistical and mathematical tools, such as copulas, location-dispersion ellipsoids, matrix-variate distributions, cone programming, are introduced from the basics. Personally, I prefer William Sharpe’s abandoned textbookalthough Sharpe covers less ground.
Trivia About Risk and Asset Al Casey Conger rated it it was amazing Dec 03, Jake marked it as to-read Apr 20, Want to Read Currently Reading Read. It covers topics I didn’t know attilo. Fabio rated it really liked it May 26, Anton marked it as to-read Aug 23, Meucci offers the best available mathematical finance foundation applicable to the investment industry buy-side.
Risk and Asset Allocation by Attilio Meucci
Li Li marked it as to-read Jun 10, Samprabhu Rubandhas rated it it was amazing Apr 11, Multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood allocation non-normal hypotheses, shrinkage, robust, and very general Bayesian techniques.
Luc Basescu added it Aug 04, Phil rated it really liked it Jan 06, This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments.
Victor added it Dec 26, 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. Alexander rated it really liked it Mar 19, Private rated it really liked riak Jul 27, Victor marked it as to-read Oct 31, Mike marked it as to-read Jun allocxtion, Jean is currently reading it Feb 27, Lists with This Book.
Aborodya is currently reading it Sep 20, To see what your friends thought of this book, please sign up. Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust optimization techniques.