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Risk and asset allocation / Attilio Meucci (cop. 2005)

Públic ISBD Títol : Risk and asset allocation Tipus de document : text imprès Autors : Attilio Meucci, Autor Editorial : Berlin : Springer Data de publicació : cop. 2005 Col·lecció : Springer finance Nombre de pàgines : xxvi, 532 p. ll. : il., gràf. Dimensions : 25 cm ISBN/ISSN/DL : 978-3-540-22213-2 Nota general : Inclou índex i bibliografia Idioma : Anglès (eng) Matèries : Gestió de cartera Gestió del risc Paraules clau : Asset allocation Classificació : 75(POR) Gestió de carteres Resum : 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. Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust optimization techniques. All the statistical and mathematical tools, such as copulas, location-dispersion ellipsoids, matrix-variate distributions, cone programming, are introduced from the basics. Comprehension is supported by a large number of figures and examples, as well as real trading and asset management case studies. At symmys.com the reader will find freely downloadable complementary materials: the Exercise Book; a set of thoroughly documented MATLAB® applications; and the Technical Appendices with all the proofs. More materials and complete reviews can also be found at symmys.com. Vista prèvia a Google Books : http://books.google.es/books?id=Qc8KWWtUokcC&lpg=PR1&hl=es&pg=PR1#v=onepage&q&f=false Permalink : https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=1 Risk and asset allocation [text imprès] / Attilio Meucci, Autor . - Berlin : Springer, cop. 2005 . - xxvi, 532 p. : il., gràf. ; 25 cm. - (Springer finance) . ISBN : 978-3-540-22213-2 Inclou índex i bibliografia Idioma : Anglès (eng) Matèries : Gestió de cartera Gestió del risc Paraules clau : Asset allocation Classificació : 75(POR) Gestió de carteres Resum : 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. Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust optimization techniques. All the statistical and mathematical tools, such as copulas, location-dispersion ellipsoids, matrix-variate distributions, cone programming, are introduced from the basics. Comprehension is supported by a large number of figures and examples, as well as real trading and asset management case studies. At symmys.com the reader will find freely downloadable complementary materials: the Exercise Book; a set of thoroughly documented MATLAB® applications; and the Technical Appendices with all the proofs. More materials and complete reviews can also be found at symmys.com. Vista prèvia a Google Books : http://books.google.es/books?id=Qc8KWWtUokcC&lpg=PR1&hl=es&pg=PR1#v=onepage&q&f=false Permalink : https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=1

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Codi de barres	Signatura topogràfica	Tipus de document	Localització	Secció	Estat	Volum	Nota
10111521	75(POR) Meu	Llibre	Biblioteca IEF Ramon Trias Fargas	Biblioteca	Disponible Disponible