Risk and Asset Allocation

This encyclopedic, self-contained, detailed exposition spans all the steps of one-period allocation from the basics to the most advanced and recent developments. A variety of multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypothes...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Meucci, Attilio (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:Inglés
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2005.
Edition:1st ed. 2005.
Series:Springer Finance Textbooks,
Subjects:
Finance.
Operations research.
Social sciences-Mathematics.
Algebras, Linear.
Statistics .
Financial Economics.
Operations Research and Decision Theory.
Mathematics in Business, Economics and Finance.
Linear Algebra.
Statistical Theory and Methods.
Online Access:Texto Completo
Table of 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.

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