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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Henry rated it really liked it Nov 12, Jul 20, Max Lybbert rated it liked it. Luc Basescu added it Aug 04, Jake marked it as to-read Apr 20, Victor added it Dec 26, 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.
Mike rated it really liked it May 10, This book is not yet featured on Listopia.
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. Alexander rated it really liked it Mar 19, Mike marked it as to-read Jun 08, Joseph L D’Anna rated it really liked it Jul 28, Sep 17, Joris Esch rated it it was amazing.
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Risk and Asset Allocation
Refresh and try again. Jun 09, Frank Ashe rated it it was ok Shelves: Lists with This Book. Nathaniel Forde rated it it was amazing Jan 06, I’ve got a PhD in maths, so it’s not the depth that bothers me, it’s the use of the maths. More materials and complete meudci can also be found at symmys.
Risk and Asset Allocation by Attilio Meucci
Multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, and very general Bayesian techniques. Open Preview See a Problem? Justas Azna marked it as to-read Nov 28, Samprabhu Rubandhas rated it it was amazing Apr 11, Keven Bluteau rated it it was amazing Apr 30, But, it’s not always obvious which ones represent something that should be calculated, and which represent idealized attllio.
Books by Attilio Meucci.
asswt There are no discussion topics on this book yet. Xiaoyu Ouyang added it Jun 10, Personally, I prefer William Sharpe’s abandoned textbookalthough Sharpe covers less ground.
Cristiano Medeiros marked it as to-read Apr 06, Return to Book Page. Shin Furuya rated it really liked it Aug 08, Victor marked it as to-read Oct 31, Not a bad book, but not what I was looking for.
Daniel marked it as to-read Jan 12, Want to Read Currently Reading Read. Steven Resman rated it really liked it Feb 25, John Smith marked it as to-read Feb 01, Tim Booher marked it as to-read Mar 09, But, it’s rsk always obvious which ones represent something that should be calculated, Not a bad book, but not what I was looking for. To ask other readers questions about Risk and Asset Allocationplease sign up.
Buy this as a reference work if you like portfolio construction as a branch of pure maths. Fabio rated it really liked it May 26,
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