Item description for Risk and Asset Allocation (Springer Finance) by Attilio Metucci...
This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments.Multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, and very general Bayesian techniques. 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. Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust optimization techniques.All the statistical and mathematical tools, such as copulas, location-dispersion ellipsoids, matrix-variate distributions, cone programming, are introduced from the basics. Comprehension is supported by a large number of figures and examples, as well as real trading and asset management case studies.At symmys.com the reader will find freely downloadable complementary materials: the Exercise Book; a set of thoroughly documented MATLABAr applications; and the Technical Appendices with all the proofs. More materials and complete reviews can also be found at symmys.com.
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Est. Packaging Dimensions: Length: 1.25" Width: 6" Height: 9" Weight: 2.05 lbs.
Release Date Jan 11, 2008
ISBN 3540222138 ISBN13 9783540222132
Availability 0 units.
More About Attilio Metucci
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.
Attilio Meucci currently resides in Greenwich, in the state of Connecticut.
Reviews - What do customers think about Risk and Asset Allocation (Springer Finance)?
Not for the faint-hearted Jan 31, 2007
A great book if you have a strong mathematical background. But the question of asset allocation is bedevilled by mathematics which is too strong to support the weak data supplied by the markets in which we invest.
Unless this weak data is properly integrated into the asset allocation process, an area which Meucci spends too little time on, then the users of quantitative procedures will continue to be disappointed.