MATLAB and Simulink Based Books

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 www.symmys.com .

About This Book

Attilio Meucci, Lehman Brothers, Inc.

Springer, 2005

ISBN: 3-540-22213-8
Language: English

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