Risk and Asset Allocation (2005. Corr. 3rd Printing 2007)
Language: English
Published by Springer June 2005, 2005
Series: Book 30 of 53 - Springer Finance
- Hardcover
- Used
Seller: Inquiring Minds, Saugerties, NY, U.S.A.Inquiring Minds
AbeBooks seller since July 6, 2018
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- Title
- Risk and Asset Allocation (2005. Corr. 3rd Printing 2007)
- Author
- Attilio Meucci
- Publisher
- Springer June 2005
- Publication year
- 2005
- Condition
- Used - Very Good
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 3540222138
- ISBN 13
- 9783540222132
- Edition
- 3rd Edition
- Series
- Book 30 of 53: Springer Finance
- Seller catalogs
- Mathematics
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.
At symmys.com the reader will find freely downloadable complementary materials: the Exercise Book; a set of thoroughly documented MATLAB® applications; and the Technical Appendices with all the proofs. More materials and complete reviews can also be found at symmys.com.
"Synopsis" may belong to another edition of this title.
About the Author
Attilio Meucci holds a BA summa cum laude in Physics and a PhD in Mathematics from the University of Milan, an MA in Economics from Bocconi University in Milan, and is CFA chartholder.
Attilio Meucci is a vice president at Lehman Brothers, Inc., New York, in the fixed-income research division. Previously, the author was a trader at Relative Value International, a hedge fund in Greenwich, CT that trades in equities and fixed-income securities worldwide. Previously, he was a consultant in the Milan office of Bain & Co., where he designed tools of personal financial planning, credit-and market-risk management, portfolio insurance, tactical and strategic asset allocation.
Attilio Meucci is the author of several publications in mathematics and finance and has taught graduate courses on Asset Allocation and Risk Management worldwide.
"About the title" may belong to another edition of this title.
Inquiring Minds
Saugerties, NY, U.S.A.
AbeBooks seller since July 6, 2018
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The Inquiring Minds Bookstore is proud to be considered a cultural and social center for our communities, with two locations in Saugerties and New Paltz. We are excited to continually provide interesting workshops, book groups, children’s programs, musical presentations, Film Festival events and other eclectic happenings for our patrons. In addition to these programs, our ongoing schedule of author readings has become known as one of the finest in the Hudson Valley, and we are pleased to be able to offer these events to our fans. As independent bookstore owners, we pride ourselves on our customer service, our depth of selection, and above all, our love and knowledge of books. We appreciate the loyal support we have received from our customers and look forward to providing quality bookselling to our communities for many years to come.…
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