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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Risk and Asset Allocation by Attilio Meucci
Buy this as a reference work if you like portfolio construction as a branch of rsik maths. Holidaylalala marked it as to-read Sep 19, Thanks for telling us about the problem. Alexander rated it really liked it Mar 19, Want to Read saving….
But then this isn’t aimed at the general audience, it’s aimed at the people who want to bring a lot of attiliio to the idea of portfolio construction. To ask other readers questions about Risk and Asset Allocationplease sign up. Platzer Peter riso it liked it Feb 12, Lists with This Book.
Christian Lauron rated it liked it Sep 04, Saurabh Jain marked it as to-read May 01, This book is not yet featured on Listopia. Sep 17, Joris Esch rated it it was amazing.
Easily includes more than a thousand equations, most discussed in detail. Joshua Knechtel added it Apr 27, This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments. Li Li marked it as to-read Jun 10, Return to Book Page.
Dimitris added it Jan 17, Comprehension is supported by a large number of figures and examples, as well as real trading and asset management case studies. Goodreads helps you keep track of books you want to read. Timchiang meuccii it as to-read Apr 20, Phil rated it really liked it Jan 06, Casey Conger rated it it was amazing Dec 03, Open Preview See a Problem?
Joseph added it Jul asest, Thomas Martins marked it as to-read Feb 21, All the statistical and mathematical tools, such as copulas, location-dispersion ellipsoids, matrix-variate distributions, cone programming, are introduced from the basics.
Trivia Amd Risk and Asset Al Steven Resman rated it really liked it Feb 25, Victor marked it as to-read Oct 31, Henry rated it really liked it Nov 12, Just a moment while we sign you in to your Goodreads account.
Risk and Asset Allocation
To see what your friends thought of this book, please sign up. Nathaniel Forde rated it it was amazing Jan 06, If you like books and rsik to build cool products, we may be looking for you. Shin Furuya rated it really liked it Aug 08, 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.
I’ve got a PhD in maths, so it’s not the depth that bothers me, it’s the wttilio of the maths. But, it’s not always obvious which ones represent something that should be calculated, Not a bad book, but not what I was looking for. Wolfgang marked it as to-read Feb 14, More materials and complete reviews can also be found at symmys. Jake marked it as to-read Apr 20, Allocatin is currently reading it Feb 27, Evaluation methods such as stochastic dominance, e This encyclopedic, detailed exposition spans all the steps of alloaction allocation from the foundations to the most advanced developments.
Meucci offers the best available mathematical finance foundation applicable to the investment industry buy-side. For a more practical approach to the same problems, call me.
Steve marked it as to-read Nov 11,