Risk and asset allocation

This book provides a comprehensive treatment of all the steps of asset allocation: detecting the market invariants; estimating the invariants' distribution; modeling the market at any horizon; defining optimality; accounting for estimation- and model-risk; including the practitioner's experience within a sound statistical framework; computing the investor's optimal allocation. Almost all results are proved explicitly in technical appendices that can be downloaded freely from the book's web-site. Each chapter ends with a set of exercises. Many of the exercises simulate in Matlab the solution to practical problems and can be downloaded from the book's web-site. TOC:Preface.- One-dimensional Random Variables.- Multi-dimensional Random Variables.- Modelling the Market.- Estimating the Invariants Distribution.- Evaluating Allocations.- Optimizing Allocations.- Estimation and Optimization together.- Appenices: Linear Algebra.- Functional Analysis.- References.- Index.

Object Details

• Location: Deutsche Nationalbibliothek Frankfurt am Main
• ISBN: 9783540222132 ; 3540222138
• Dimensions: 24 cm
• Extent: XXVI, 532 S.
• Language: Englisch
• Notes: Literaturverz. S. 505 - 513

Classification and Topics

• Classification: Wirtschaft ; Mathematik
• Keyword: Portfolio Selection ; Finanzmathematik

Contributors, Places and Time

• Event: Veröffentlichung
• (where): Berlin, Heidelberg, New York
• (who): Springer
• (when): 2005
• Creator: Meucci, Attilio

Further information

• Table of contents: https://d-nb.info/971620636/04
• Rights: Bei diesem Objekt liegt nur das Inhaltsverzeichnis digital vor. Der Zugriff darauf ist unbeschränkt möglich.
• Last update: 11.06.2025, 1:41 PM CEST