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Risk and Asset Allocation

Risk and Asset Allocation

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 .

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About This Book

Attilio Meucci, Lehman Brothers, Inc.

Springer, 2005

ISBN: 3-540-22213-8
Language: English