Risk and Asset Allocation (Springer Finance) - Softcover

Meucci, Attilio

Softcover

ISBN 10: 3642009646 ISBN 13: 9783642009648

Publisher: Springer, 2009

Synopsis

Discusses in the practical and theoretical aspects of one-period asset allocation, i.e. market Modeling, invariants estimation, portfolia evaluation, and portfolio optimization in the prexence of estimation risk

The book is software based, many of the exercises simulate in Matlab the solution to practical problems and can be downloaded from the book's web-site

About this title

From the Publisher:

The author will donate all the proceeds from his royalties to charity, learn more at symmys.com.

From the Inside Flap:

This exciting new book takes a fresh look at asset allocation and offers up a masterly account of this important subject. The quantitative emphasis and included MATLAB software make it a must-read for the mathematically oriented investment professional.
Peter Carr, Head of Quantitative Research, Bloomberg LP Director of Masters in Mathematical Finance program, NYU

Meucci’s "Risk and Asset Allocation" is one of those rare books that take a completely fresh look at a well-studied problem, optimal financial portfolio allocation based on statistically estimated models of risk and expected return. Designed for graduate students or quantitatively oriented asset managers, Meucci provides a sophisticated and integrated treatment, from investment theory, to optimization methods, to statistical analysis of multi-variate return data, through computational implementation of the results. This is rigorous and relevant!
Darrel Duffie, Professor of Graduate Business School, Stanford University

A wonderful book! Mathematically rigorous and yet practical, heavily illustrated with graphs and worked examples, Attilio Meucci has written a comprehensive treatment of asset allocation starting from statistical concepts, covering investment primitives, and leading to portfolio optimization in a Bayesian context with parameter uncertainty.
Bob Litterman, Head of Quantitative Resources, Goldman Sachs Asset Management

This book takes the reader on a journey through portfolio management starting with the basics and reaching some fascinating terrain. Attilio Meucci shows a real talent for explaining the most difficult of subjects in a very clear manner.
Paul Wilmott, wilmott.com

About this edition

• Publisher: Springer
• Publication date: 2009
• ISBN 10: 3642009646
• ISBN 13: 9783642009648
• Binding: Paperback
• Edition number: 1
• Number of pages: 558