Risk and Asset Allocation / Edition 1

Risk and Asset Allocation / Edition 1

by Attilio Meucci
     
 

ISBN-10: 3540222138

ISBN-13: 9783540222132

Pub. Date: 01/11/2008

Publisher: Springer Berlin Heidelberg

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

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Overview

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

Product Details

ISBN-13:
9783540222132
Publisher:
Springer Berlin Heidelberg
Publication date:
01/11/2008
Series:
Springer Finance / Springer Finance Textbooks Series
Edition description:
1st ed. 2005. Corr. 3rd printing 2007
Pages:
532
Product dimensions:
6.10(w) x 9.25(h) x 0.05(d)

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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