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Comprehension is supported by a large number of figures and examples, as well as real trading and asset management case studies. Mountainking added it Jun 02, Attilio Meucci is a vice president at Lehman Brothers, Inc.
Risk and Asset Allocation by Attilio Meucci
Aborodya is currently reading it Sep 20, Brandon Wright rated it liked it Jun 01, Fabio rated it really liked it May 26, Henry rated it really liked it Nov 12, Jake marked it as to-read Apr 20, This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments. Evaluation methods such as stochastic dominance, e This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments.
Estimating the distribution of the market invariants. All the statistical and mathematical tools, such as copulas, location-dispersion ellipsoids, matrix-variate distributions, cone programming, are introduced from the basics.
Nathaniel Forde meuccci it it was amazing Jan 06, Jun 09, Frank Ashe rated it it was ok Shelves: Saurabh Jain marked it as to-read May 01, Private rated it really liked it Jul 27, Dimitris added it Jan 17, More materials and complete reviews can also be found at symmys. Personally, I prefer William Sharpe's abandoned textbookalthough Sharpe covers less ground.
Buy this as a reference work if you like portfolio construction as a branch of pure maths. Clare marked it as to-read Jun 25, Cristiano Medeiros marked it adn to-read Mfucci 06, Previously, the author was a trader at Relative Value International, a hedge fund in Greenwich, CT that trades in equities and fixed-income securities worldwide.
Attilio Meucci is the author of several publications in mathematics and finance and has taught graduate courses on Asset Allocation and Risk Management worldwide.
Risk and Asset Allocation - Attilio Meucci - Google Books
John Smith marked it as to-read Feb 01, Luc Basescu added it Aug 04, Trivia About Risk and Asset Al If you like books and love to build meycci products, we may be looking for you. 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.
Want to Read Currently Reading Read. Adam rated it really liked it Mar 12, Popular passages Page - Eq. Piotr rated it liked it May 13, Shin Furuya rated it really liked it Aug 08, The book has extensive coverage of distributions normal, lognormal, Cauchy, Student's mfucci, Chi, Wishartfactor models, common mistakes people make with factor models, mean-variance optimization, Bayesian analysis, Black-Litterman, estimation error, etc.
Mike rated it really liked mecci May 10,