Risk and Asset Allocation

Name: Risk and Asset Allocation
Author: Attilio Meucci

Specificaties

Gebonden, 532 blz. | Engels

Springer Berlin Heidelberg | 1e druk, 2007

ISBN13: 9783540222132

Rubricering

Springer Berlin Heidelberg 1e druk, 2007 9783540222132

Onderdeel van serie Springer Finance

132,99

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Samenvatting

Discusses in the practical and theoretical aspects of one-period asset allocation, i.e. market Modeling, invariants estimation, portfolia evaluation, and portfolio optimization in the prexence of estimation risk

The book is software based, many of the exercises simulate in Matlab the solution to practical problems and can be downloaded from the book's web-site

Specificaties

ISBN13:9783540222132

Taal:Engels

Bindwijze:gebonden

Aantal pagina's:532

Uitgever:Springer Berlin Heidelberg

Druk:1

Hoofdrubriek:Financieel management

Serie:Springer Finance

Inhoudsopgave

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.