Ch 9: Estimation risk and allocation optimization (Bayes, Black-Litterman, Python and MATLAB code for advanced risk and portfolio management, see here . Risk and Asset Allocation has 24 ratings and 3 reviews. Max said: Not a bad book, but not what I was looking for. The book has extensive coverage of dist. mathematical finance but foreign exchanges, term structure, risk management, portfolio theory Attilio Meucci. Risk and. Asset Allocation. With Figures. .

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Justas Azna marked it as to-read Nov 28, Goodreads helps you keep track of books you want to read.

Risk and Asset Allocation

Shin Furuya rated it really liked it Aug 08, Sep 17, Joris Esch rated it it was amazing. 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.

Be the first to ask a question about Risk and Asset Allocation. Private rated it really liked it Jul 27, Alexander rated it really liked it Mar 19, Tim Booher marked it as to-read Mar 09, Easily includes gisk than a thousand equations, most discussed in detail.


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Risk and Asset Allocation by Attilio Meucci

Holidaylalala marked it as to-read Sep 19, But, it’s not always obvious which ones represent something that should be calculated, and which represent idealized functions. The book has extensive coverage of distributions normal, lognormal, Cauchy, Student’s t, Chi, Wishartfactor models, common mistakes people make with factor models, mean-variance optimization, Bayesian analysis, Black-Litterman, estimation error, etc.

Victor marked it as to-read Oct 31, Lists with This Book. Piotr rated it liked it May 13, Platzer Peter rated it liked it Feb 12, More materials and complete reviews can also be found at symmys. All the statistical and mathematical tools, such as copulas, location-dispersion ellipsoids, matrix-variate distributions, cone programming, are introduced from the basics.

This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments. If you like books and love to build cool products, we may be looking for you. Saurabh Jain marked it as to-read May 01, Wolfgang marked it as to-read Feb 14, Joshua Knechtel added it Apr 27, John Smith marked it as to-read Feb 01, But then this isn’t aimed at the general audience, it’s aimed at the people who want to bring a lot of mathematics to the idea of portfolio construction.


Dimitris added it Jan 17, Xiaoyu Ouyang added it Jun 10, Anton marked it as to-read Aug 23, For a more practical approach to the same problems, call me.

Meucci offers the best available mathematical finance foundation applicable to the investment industry buy-side.

Samprabhu Rubandhas rated it it was amazing Apr 11,