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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Mike marked it as to-read Jun 08, But then this isn’t aimed wsset the general audience, it’s aimed at the people who want to bring a lot of mathematics to the idea of portfolio construction. Henry rated it really liked it Nov 12, Buy this as a reference work if you like portfolio construction as a branch of pure maths. Risk and Asset Allocation by Attilio Meucci.
Steve marked it as to-read Nov 11, This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments. Wolfgang marked it as to-read Feb 14, Tim Booher marked it as to-read Mar 09, Christian Lauron rated it liked it Sep 04, More materials and complete reviews can also alloaction found at riks.
Thanks for telling us about the problem. Fabio rated it really liked it May 26, Multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, and very general Bayesian techniques.
Not a bad book, but not what I was looking for.
Risk and Asset Allocation by Attilio Meucci
This book is not yet featured on Listopia. Jean is currently reading it Feb 27, Vaani allocation it as to-read Oct 26, Trivia About Risk and Asset Al Easily includes more than a thousand equations, most discussed in detail. Saurabh Jain marked it as to-read May 01, Brian Peterson rated allocqtion it was amazing Nov 02, Samprabhu Rubandhas rated it it was amazing Apr 11, Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust optimization techniques.
Shin Furuya rated it really liked it Aug 08, Cristiano Medeiros marked it mucci to-read Apr 06, Joshua Knechtel added it Apr 27, Open Preview See a Problem? 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. Aborodya is currently reading it Sep 20, Jake marked it as to-read Apr 20, 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.
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Risk and Asset Allocation
For a more practical approach to the same problems, call me. Private rated it really liked it Jul 27, Daniel marked it as to-read Jan 12, Holidaylalala marked it as to-read Sep 19, If you like books and love to build cool products, we may be looking for you. Lists with This Allocatoin.
Steven Resman aplocation it really liked it Feb 25, Anton marked it as to-read Aug 23, But, it’s not always obvious which ones represent something that should be calculated, and which represent idealized functions. Keven Bluteau rated it it was amazing Apr 30, Justas Azna marked it as to-read Nov 28,