| 书目名称 | Risk and Asset Allocation | | 编辑 | Attilio Meucci | | 视频video | | | 概述 | The only book that truly discusses in a self-contained and general way all the practical and theoretical aspects of one-period asset allocation, i.e. market Modeling, invariants estimation, portfolia | | 丛书名称 | Springer Finance | | 图书封面 |  | | 描述 | .This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments.. .Multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, and very general Bayesian techniques. Evaluation methods such as stochastic dominance, expected utility, value at risk and coherent measures are thoroughly discussed in a unified setting and applied in a variety of contexts, including prospect theory, total return and benchmark allocation.. .Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust optimization techniques.. .All the statistical and mathematical tools, such as copulas, location-dispersion ellipsoids, matrix-variate distributions, cone programming, are introduced from the basics. Comprehension is supported by a large number of figures and examples, as well as real trading and asset management case studies.. .At symmys.com the reader will find freely downloadable complementary materials: the Exercise Book; a set of thoroughly documented MATLAB.®. applications; | | 出版日期 | Textbook 2005 | | 关键词 | Asset Allocation; Asset Management; MATLAB; Matrix; Multivariate statistics; Portfolio; Portfolio Optimiza | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-540-27904-4 | | isbn_softcover | 978-3-642-00964-8 | | isbn_ebook | 978-3-540-27904-4Series ISSN 1616-0533 Series E-ISSN 2195-0687 | | issn_series | 1616-0533 | | copyright | Springer-Verlag Berlin Heidelberg 2005 |
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发表于 2025-3-21 16:51:51
