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| Publisher | Springer-Verlag Berlin And Heidelberg GmbH & Co. KG |
| Author | Attilio Meucci |
| Language | English |
| Editorial Review | This exciting new book takes a fresh look at asset allocation and offers up a masterly account of this important subject. The quantitative emphasis and included MATLAB software make it a must-read for the mathematically oriented investment professional. Peter Carr, Head of Quantitative Research, Bloomberg LP, Director of Masters in Mathematical Finance program, NYU Meucci's Risk and Asset Allocation is one of those rare books that takes a completely fresh look at a well-studied problem, optimal financial portfolio allocation based on statistically estimated models of risk and expected return. Designed for graduate students or quantitatively oriented asset managers, Meucci provides a sophisticated and integrated treatment, from investment theory, to optimization methods, to statistical analysis of multi-variate return data, through computational implementation of the results. This is rigorous and relevant! Darrel Duffie, Professor of Graduate Business School, Stanford University A wonderful book! Mathematically rigorous and yet practical, heavily illustrated with graphs and worked examples, Attilio Meucci has written a comprehensive treatment of asset allocation starting from statistical concepts, covering investment primitives, and leading to portfolio optimization in a Bayesian context with parameter uncertainty. Bob Litterman, Head of Quantitative Resources, Goldman Sachs Asset Management |
| Publication Date | 01 Jun 2009 |
| ISBN 13 | 9783642009648 |
| Book Format | Paperback |
| Book Description | Discusses in the practical and theoretical aspects of one-period asset allocation, i.e. market Modeling, invariants estimation, portfolia evaluation, and portfolio optimization in the prexence of estimation risk The book is software based, many of the exercises simulate in Matlab the solution to practical problems and can be downloaded from the book's web-site |
| About the Author | Attilio Meucci holds a BA summa laude in Physics and a PhD in Mathematics from the University of Milan, an MA in Economics from Bocconi University in Milan, and is CFA chartholder.Attilio Meucci is a vice president at Lehman Brothers, Inc., New York, in the fixed-income research division. Previously, the author was a trader at Relative Value International, a hedge fund in Greenwich, CT that trades in equities and fixed-income securities worldwide. Previously, he was a consultant in the Milan office of Bain & Co., where he designed tools of personal financial planning, credit-and market-risk management, portfolio insurance, tactical and strategic asset allocation.Attilio Meucci is the author of several publications in mathematics and finance and has taught graduate courses on Asset Allocation and Risk Management worldwide. |
| Number of Pages | 532 |
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