Risk and Asset Allocation (Springer Finance Textbooks 1st ed. 2005. Corr. 3rd printing 2009)

Risk and Asset Allocation (Springer Finance Textbooks 1st ed. 2005. Corr. 3rd printing 2009)

By: Attilio Meucci (author)Paperback

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Description

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 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.

Contents

The statistics of asset allocation.- Univariate statistics.- Multivariate statistics.- Modeling the market.- Classical asset allocation.- Estimating the distribution of the market invariants.- Evaluating allocations.- Optimizing allocations.- Accounting for estimation risk.- Estimating the distribution of the market invariants.- Evaluating allocations.- Optimizing allocations.

Product Details

  • ISBN13: 9783642009648
  • Format: Paperback
  • Number Of Pages: 532
  • ID: 9783642009648
  • weight: 836
  • ISBN10: 3642009646
  • edition: 1st ed. 2005. Corr. 3rd printing 2009

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