Attilio Meucci, "Risk and Asset Allocation (Springer Finance)" (Repost)
Publisher: Springer | ISBN: 3540222138 | edition 2005 | PDF | 547 pages | 11,76 mb
This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments. Multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, and very general Bayesian techniques. 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.