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Books, Free Shipping, Risk And Asset Allocation

Posted at: Offers to Sell and Export | Posted on: Fri 16 Jul, 2010 9:17 am | Product Category: Reference books [3760]
 
books shipping risk asset allocation
Products Photos CatalogBooks Shipping Risk Photos Catalog



Product Description:

Contents:


Preface

Audience and style

Structure of the work

A guided tour by

means of a simplistic example

Acknowledgments

Part I The statistics of asset allocation

1 Univariate statistics

1.1 Building blocks

1.2 Summary statistics

1.3 Taxonomy of distributions

1.T Technical appendix

1.E Exercises

2 Multivariate statistics

2.1 Building blocks

2.2 Factorization of a distribution

2.3 Dependence

2.4 Shape summary statistics

2.5 Dependence summary statistics

2.6 Taxonomy of distributions

2.7 Special classes of distributions

2.T Technical appendix

2.E Exercises

3 Modeling the market

3.1 The quest for invariance

3.2 Projection of the invariants to the investment horizon.

3.3 From invariants to market prices

3.4 Dimension reduction

3.5 Case study: modeling the swap market

3.T Technical appendix

3.E Exercises

part II Classical asset allocation

4 Estimating the distribution of the market invariants

4.1 Estimators

4.2 Nonparametric estimators

4.3 Maximum likelihood estimators

4.4 Shrinkage estimators

4.5 Robustness

4.6 Practical tips

4.T Technical appendix

4.E Exercises

5 Evaluating allocations

5.1 Investor's objectives

5.2 Stochastic dominance

5.3 Satisfaction

5.4 Certainty-equivalent (expected utility)

5.5 Quantile (value at risk)

5.6 Coherent indices (expected shortfall)

5.T Technical appendix

5.E Exercises

6 Optimizing allocations

part III Accounting for estimation risk

7 Estimating the distribution of the market invariants

8 Evaluating allocations

9 Optimizing allocations

Part IV Appendices

A Linear algebra

B Functional Analysis

References

List of figures

Notation

Index

Product Details

Author Attilio Meucci

Publisher World Publishing Corporation

Isbn 7510004926, 9787510004926

Published January 2010

Pages 532

Size 24k

Edition First

Format Paperback

Language English

Page material gelatine plate paper



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Member name: BookWholesale
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Member Since: 13 May 2010
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Product Category: Reference books [3760]
 
 
 

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