ATTILIO MEUCCI RISK AND ASSET ALLOCATION PDF

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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I’ve got a PhD in maths, so it’s anr the depth that bothers me, it’s the use of the maths. Jun 09, Frank Ashe rated it it was ok Shelves: There are no discussion topics on this book yet.

Private rated it ahtilio liked it Jul 27, Anton marked it as to-read Aug 23, Lists with This Book. Meucci offers the best available mathematical finance foundation applicable to the investment industry buy-side.

Vaani marked it as to-read Oct 26, David rated it really liked it Jul 31, Evaluation methods such as stochastic dominance, expected utility, value at risk anr coherent measures are thoroughly discussed in a unified setting and applied in a variety of contexts, including prospect theory, total return and benchmark allocation.

Cristiano Medeiros marked it as to-read Apr 06, 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.

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Personally, I prefer William Sharpe’s abandoned textbookalthough Sharpe covers less ground. Timchiang marked it as to-read Apr 20, Piotr rated it liked it May 13, Joseph L D’Anna rated it really liked it Jul 28, To ask other readers questions about Risk and Asset Allocationplease sign rizk.

Risk and Asset Allocation

attiloi All the statistical and mathematical tools, such as copulas, location-dispersion ellipsoids, matrix-variate distributions, cone programming, are introduced from the basics. Goodreads helps you keep track of books you want to read. Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust optimization techniques.

Nathaniel Forde rated it it was amazing Jan 06, But then this isn’t aimed at the general audience, it’s aimed at the people qttilio want to bring a lot of mathematics to the idea of portfolio construction. John Smith marked it as to-read Feb 01, Published Atitlio 8th by Springer first published January 1st It covers topics I didn’t know exist. Sep 17, Joris Esch rated it it was amazing.

Mike marked it as to-read Jun 08, Samprabhu Rubandhas rated it it was amazing Apr 11, Thomas Martins marked it as to-read Feb 21, No trivia or quizzes yet. Li Li marked it as to-read Jun 10, Victor added it Dec 26, Refresh and try again. Wolfgang marked it as to-read Feb 14, Be the first to ask a question about Risk and Asset Allocation. Alexander rated it really liked it Mar 19, But, it’s not always obvious which ones represent something that should be calculated, Not a bad book, but not what I was looking for.

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Risk and Asset Allocation by Attilio Meucci

Casey Conger rated it it was amazing Dec 03, Risk and Asset Allocation by Attilio Meucci. Victor marked it as to-read Oct 31, Shin Furuya rated it really liked it Aug 08, Daniel marked it as to-read Jan 12, Saurabh Jain marked it as to-read May 01, Steve marked it as to-read Nov 11, Holidaylalala marked it as to-read Sep 19, Open Preview See a Problem? Dimitris added it Jan 17, Want to Read Currently Reading Read.

Phil rated it really liked it Jan 06, Luc Basescu added allocatkon Aug 04, Adam rated it really liked it Mar 12, Aborodya is currently reading it Sep 20, Jean is currently reading it Feb 27, Evaluation methods such as stochastic dominance, e This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments.

For a more practical approach to the same problems, call me. Easily includes more than a thousand equations, most discussed in detail.