Risk and Asset Allocation
This encyclopedic, self-contained, detailed exposition spans all the steps of one-period allocation from the basics to the most advanced and recent developments. A variety of multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypothes...
Κύριος συγγραφέας: | |
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Συγγραφή απο Οργανισμό/Αρχή: | |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2005.
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Σειρά: | Springer Finance,
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Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 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.