Risk and asset allocation
- نوع فایل : کتاب
- زبان : انگلیسی
- مؤلف : Attilio Meucci
- ناشر : Berlin ; New York : Springer
- چاپ و سال / کشور: 2005
- شابک / ISBN : 9786610616381
Description
Part I: The statistics of asset allocation. Univariate statistics -- Multivariate statistics -- Modeling the market -- Part II: Classical asset allocation. Estimating the distribution of the market invariants -- Evaluating allocations -- Optimizing allocations -- Part III: Accounting for estimation risk. Estimating the distribution of the market invariants -- Evaluating allocations -- Optimizing allocations.
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
