Risk and Asset Allocation

This encyclopedic detailed exposition spans all the steps of oneperiodallocation from the foundations to the most advanced developments. Multivariateestimation ... » 

This encyclopedic detailed exposition spans all the steps of oneperiodallocation from the foundations to the most advanced developments. Multivariateestimation methods are analyzed in depth including nonparametric maximumlikelihood under nonnormal hypotheses shrinkage robust and very generalBayesian techniques. Evaluation methods such as stochastic dominance expectedutility value at risk and coherent measures are thoroughly discussed in aunified setting and applied in a variety of contexts including prospecttheory total return and benchmark allocation. Portfolio optimization ispresented with emphasis on estimation risk which is tackled by means ofBayesian resampling and robust optimization techniques. All the statisticaland mathematical tools such as copulas locationdispersion ellipsoidsmatrixvariate distributions cone programming are introduced from the basics.Comprehension is supported by a large number of figures and examples as wellas real trading and asset management case studies. At symmys.com the readerwill find freely downloadable complementary materials the Exercise Book a setof thoroughly documented MATLAB applications and the Technical Appendiceswith all the proofs. More materials and complete reviews can also be found atsymmys.com. TOCPreface. Onedimensional Random Variables. MultidimensionalRandom Variables. Modelling the Market. Estimating the InvariantsDistribution. Evaluating Allocations. Optimizing Allocations. Estimation andOptimization together. Appendices Linear Algebra. Functional Analysis.References. Index. «