Ch 9: Estimation risk and allocation optimization (Bayes, Black-Litterman, Python and MATLAB code for advanced risk and portfolio management, see here . Risk and Asset Allocation has 24 ratings and 3 reviews. Max said: Not a bad book, but not what I was looking for. The book has extensive coverage of dist. mathematical finance but foreign exchanges, term structure, risk management, portfolio theory Attilio Meucci. Risk and. Asset Allocation. With Figures. .

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But then this isn’t aimed at the general audience, it’s aimed at the people who want to bring a lot of mathematics to the idea of portfolio construction. Steven Resman rated it really liked it Feb 25, All the statistical and mathematical tools, such as copulas, location-dispersion ellipsoids, matrix-variate distributions, cone programming, are introduced from the basics.

Meucci offers the best available mathematical finance foundation applicable to the investment industry buy-side. Refresh and try again.

Tim Booher marked it as to-read Mar 09, It covers topics I didn’t know exist. Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and attilip optimization techniques. Return to Book Page.


Shin Furuya rated it really liked it Aug 08, Published June 8th by Springer first published January 1st For a more practical approach to the same problems, call me. Platzer Peter rated it liked it Feb 12, Jake marked it as to-read Apr 20, Open Preview See a Problem?

Justas Azna marked it as to-read Aeset 28, No trivia or quizzes yet. Saurabh Jain marked it as to-read May 01, Samprabhu Rubandhas rated it it was amazing Apr 11, Nathaniel Forde rated it it was amazing Jan 06, Thanks for telling us about the problem.

Personally, I prefer William Sharpe’s abandoned textbookattllio Sharpe covers less ground. Vaani marked it as to-read Oct 26, Easily includes more than a thousand equations, most discussed in detail. Timchiang marked it as to-read Apr 20, David rated it really liked it Jul 31, This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments.


If you like books and love to build cool products, we may be looking for you. Buy this as a reference work if you like portfolio construction as a branch of pure maths.

Risk and Asset Allocation by Attilio Meucci

Xiaoyu Ouyang added it Jun 10, Holidaylalala marked it as to-read Sep 19, Joshua Knechtel added it Apr 27, To ask other readers questions about Risk and Asset Allocationplease sign up.

Be the first to ask a question about Risk and Asset Allocation. Christian Lauron rated it liked it Sep 04, There are no discussion topics on this book yet. Adam rated it really liked it Mar 12, Jun 09, Frank Ashe rated it it was ok Shelves: Joseph added it Jul 25, Sep 17, Joris Esch rated it it was amazing. Piotr rated it liked it Rjsk 13,