Book: Risk and Asset Allocation
Chapters
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
Technical derivations
Tedious proofs and technical results, challenges, pitfalls and step-by-step solutions with MATLAB code, see here.
Applications
Python and MATLAB code for advanced risk and portfolio management, see here.
