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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Buy this as a reference work if you like portfolio construction as a branch of pure maths. Comprehension is supported by a large number wttilio figures and examples, as well as real trading and asset management case studies. If you like books and love to build cool products, we may be looking for you.
Mike marked it as to-read Jun 08, Thomas Martins marked it as to-read Feb 21, Mike rated it really liked it May 10, I’ve got a PhD in maths, so it’s not the depth that bothers me, it’s the use of the maths.
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More materials and complete reviews can also be found at symmys. Sep 17, Joris Esch rated it it was amazing.
Risk and Asset Allocation
Adam rated it really liked it Mar 12, Timchiang marked it as to-read Apr 20, Samprabhu Rubandhas rated it it was amazing Apr 11, Evaluation methods such as stochastic dominance, expected utility, value at risk and coherent measures are thoroughly discussed in a unified setting and applied in a variety of contexts, including prospect theory, total return and benchmark allocation.
Holidaylalala marked it as to-read Sep 19, Xiaoyu Ouyang added it Jun 10, 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.
Brandon Wright rated it liked it Jun 01, Dimitris added it Jan 17, Goodreads helps you keep track of books you want to read. Jean is currently reading it Feb 27, Keven Bluteau rated it it was amazing Apr 30, Christian Lauron rated it liked it Sep 04, Risk and Asset Allocation by Attilio Meucci.
Personally, I prefer William Sharpe’s abandoned textbookalthough Sharpe covers less ground. Brian Peterson rated it it was amazing Nov 02, Not a bad book, but not what I was looking for. Private rated it really liked it Jul 27, Wolfgang marked it as to-read Feb 14, Jun 09, Frank Ashe rated it it was ok Shelves: Jul 20, Max Lybbert rated it liked it. No trivia or quizzes yet.
Want to Read Currently Reading Read. Joseph L D’Anna rated it really liked it Jul 28, Multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, and very general Bayesian techniques.
Risk and Asset Allocation by Attilio Meucci
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Joshua Knechtel added it Apr 27, Jake marked it as to-read Apr 20, This encyclopedic, detailed exposition mejcci all the steps of one-period allocation from anc foundations to the most advanced developments. Henry rated it really liked it Nov 12, David rated it really liked it Jul 31, Joseph added it Jul 25, Cristiano Medeiros marked it as to-read Apr 06, To see what your friends thought of this book, please sign up.
Published June 8th by Springer first published January 1st Meucci offers the best available mathematical finance foundation applicable to the investment industry buy-side.
There are no discussion topics on this book yet. Luc Basescu added it Aug 04, Steven Resman rated it really liked it Feb 25, Victor marked it as to-read Oct 31, But, it’s not alloocation obvious which ones represent something that should be calculated, Not a bad book, but not what I was looking for. Phil rated it really liked it Jan 06, Mountainking added it Jun 02,