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  E-mail Message: I thought you might be interested in this item at http://www.worldcat.org/oclc/655856307 Title: Risk and asset allocation Author: Attilio Meucci Publisher: Berlin ; New York : Springer, 2005. ISBN/ISSN: 9783540279044 3540279040 9786610616381 6610616388 3540222138 9783540222132 OCLC:655856307

  
  

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Subjects

• Asset allocation.
• Portfolio management.
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Risk and asset allocation

Author:	Attilio Meucci
Publisher:	Berlin ; New York : Springer, 2005.
Series:	Springer finance.
Edition/Format:	eBook : Document : EnglishView all editions and formats
Summary:	"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."--Jacket.  Read more...
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