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Risk and Asset Allocation.

Author: Attilio Meucci
Publisher: New York : Springer May 2009.
Series: Springer Finance Ser.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:

This encyclopedic, detailed resource covers all the steps of one-period allocation from the foundations to the most advanced developments. It includes a large number of figures and examples as well  Read more...

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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Attilio Meucci
ISBN: 9783642009648 3642009646
OCLC Number: 618750713
Target Audience: Scholarly & Professional
Description: 1 online resource (xxvi, 532 pages).
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.
Series Title: Springer Finance Ser.

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From the reviews: This exciting new book takes a fresh look at asset allocation and offers up a masterly account of this important subject. The quantitative emphasis and included MATLAB software make Read more...

 
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