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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Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust optimization techniques. Aborodya is currently reading it Sep 20, Open Preview See a Problem?

Lists with This Book. Christian Lauron rated it liked it Sep 04, Buy this as a reference work if you like portfolio construction as a branch of pure maths.

Mike rated it really liked it May 10, Brandon Wright rated it liked it Jun 01, Vaani marked it as to-read Oct 26, But then this isn’t aimed at the general audience, it’s aimed at the people who want to bring a lot of mathematics to the idea of portfolio construction.


Steven Resman rated it really liked it Feb 25, This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments.

Return to Book Allcoation. Alexander rated it really liked it Mar 19, Trivia About Risk and Asset Al Want to Read saving….

Risk and Asset Allocation by Attilio Meucci

Joshua Knechtel added it Apr 27, Joseph L D’Anna rated it really liked it Jul rjsk, More materials and complete reviews can also be found at symmys. For a more practical approach to the same problems, call me.

Mountainking added it Jun 02, Luc Basescu added it Aug 04, Justas Azna marked it as to-read Nov 28, Daniel marked it as to-read Jan 12, Li Li marked it as to-read Jun 10, But, it’s not always obvious which ones represent something that should be calculated, and which represent idealized functions. 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.


Jean is currently reading it Feb 27, John Smith marked it as to-read Feb 01, Adam rated it really liked it Mar 12, Brian Peterson rated it it was amazing Nov 02, Joseph added it Jul 25, David rated it really liked it Jul 31, Steve marked it as to-read Nov 11, Phil rated it really liked it Jan 06, Multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, and very general Bayesian techniques.

Books by Attilio Meucci.