Risk and Asset Allocation

Name: Risk and Asset Allocation
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783540222132
Price: 49491 HUF
Availability: InStock

Szerző: Attilio Meucci

Nyelv:

Kötés: Kemény kötésű

Kiadó: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Elérhetőség: Beszállítói készleten alacsony példányszámban

Küldés 13-18 napon belül

49 491 Ft

This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundat...

Információk a könyvről

Szerző

Attilio Meucci

Nyelv

Angol

Kötés

Könyv - Kemény kötésű

Kiadva

2007

oldal

532

EAN

9783540222132

ISBN

3540222138

Enbook ID

01559485

Kiadó

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Súly

944

Méretek

166 x 243 x 35

Teljes leírás

This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments.§Multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, and very general Bayesian techniques. 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.§Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust optimization techniques.§All the statistical and mathematical tools, such as copulas, location-dispersion ellipsoids, matrix-variate distributions, cone programming, are introduced from the basics. Comprehension is supported by a large number of figures and examples, as well as real trading and asset management case studies.§At symmys.com the reader will find freely downloadable complementary materials: the Exercise Book; a set of thoroughly documented MATLAB® applications; and the Technical Appendices with all the proofs. More materials and complete reviews can also be found at symmys.com.

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