Risk and Asset Allocation

• Main Author: Meucci, Attilio (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2005.
• Series: Springer Finance,
• Subjects: Finance.; Operations research.; Decision making.; Matrix theory.; Algebra.; Economics, Mathematical.; Statistics.; Finance, general.; Operation Research/Decision Theory.; Quantitative Finance.; Linear and Multilinear Algebras, Matrix Theory.; Statistical Theory and Methods.

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...

Table of 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.