The book · Attilio Meucci
Risk and Asset Allocation
From the foundations to advanced techniques in risk and portfolio management. Explore the chapters, work through the derivations, and connect the theory to code.
Contents
Explore the chapters
Select a chapter to find its available articles and resources .
- Ch 1/2 Uni- and Multi-variate Statistics
- Ch 3 Quest for Invariance in Financial Time Series
- Ch 3 Projection of Invariants to Investment Horizon
- Ch 3 Pricing of Individual Securities
- Ch 3 Linear Factor Models
- Ch 3 Swaps modeling using Principal Component Analysis
- Ch 4 Multivariate Estimation (Non-Parametric, MLE, Shrinkage, Robust, …)
- Ch 5 Risk Evaluation (stochastic dominance, expected utility, VaR, CVaR, spectral measures…)
- Ch 6 Portfolio Optimization (Mean-Variance, Cone Programming, Benchmark Allocation…)
- Ch 7 Bayesian Estimation
- Ch 8 Estimation Risk Evaluation
- Ch 9 Estimation risk and allocation optimization (Bayes, Black-Litterman, robust…)
- App A Linear Algebra
- App B Functional Analysis