Risk and Asset Allocation
Attilio Meucci, Lehman Brothers, Inc.
Springer International Publishing, 2005
ISBN: 3-540-22213-8;
Language: English
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 code files are available on the MATLAB Central File Exchange.
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