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Search for author name: "Attilio Meucci" | Books found: 1
Risk and Asset Allocation (Springer Finance) (Springer Finance)
Risk and Asset Allocation (Springer Finance) (Springer Finance)
Author: Attilio Meucci | Publisher: Springer
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 r
Added: 09.05.2007ISBN: 3540222138Pages: 532Price: £ 53,99Lang.: English 
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