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Risk and Asset Allocation
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Language: English |
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Written for quantitative portfolio managers and advanced students in finance and economics, this text spans all the steps of one-period allocation from fundamental theory to advanced developments. Topics covered include multivariate Bayesian and shrinkage estimation methods; portfolio optimization with emphasis on estimation risk; evaluation methods such as VaR and coherent measures; and statistical and mathematical tools such as copulas, location-dispersion ellipsoids, and cone programming.
To supplement the text, MATLAB M-files, an exercise book, technical appendices, and reviews of the book are available at www.symmys.com .
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