- You'll save an extra 5% on Books purchased from Amazon.ca, now through July 29th. No code necessary, discount applied at checkout. Here's how (restrictions apply)
Risk and Asset Allocation Hardcover – Sep 15 2009
Special Offers and Product Promotions
No Kindle device required. Download one of the Free Kindle apps to start reading Kindle books on your smartphone, tablet, and computer.
Getting the download link through email is temporarily not available. Please check back later.
To get the free app, enter your mobile phone number.
From the reviews:
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
This book takes the reader on a journey through portfolio management starting with the basics and reaching some fascinating terrain. Attilio Meucci shows a real talent for explaining the most difficult of subjects in a very clear manner.
Paul Wilmott, wilmott.com
"This book presents a detailed and well-explained introduction to one-period asset allocation techniques … . the book gives an impressive and comprehensive introduction to static one-period asset allocation. It explains most of the concepts intuitively and with a minimal mathematical machinery. … For practitioners, the book serves as a theoretical basis of their actual work. For students of finance and economics it gives a self-contained overview of the main quantitative concepts in the subject." (Ludger Overbeck, SIAM Review, Vol. 48 (3), 2006)
"This book delves into the classical mathematics of portfolio optimization with a few nods to more recent developments in risk measurement such as value-at-risk and copulas. … For anyone with an interest in the mathematics of portfolio optimization, the book is certainly worth a look. … The author covers a wealth of statistical and optimization techniques that are worth reading about." (www.riskbook.com, May, 2006)
"The book offers a wide exposition of the main approaches to asset allocation, starting from the classical models up to the recent developments in portfolio management. … By virtue of the sequential structure of the subjects and the simple but efficacious mathematical treatment, the monograph is useful for graduate students and quantitatively-oriented practitioners too. … The book is complemented by online resources, consisting of software applications performed by MATLAB … ." (Emilia Di Lorenzo, Zentralblatt MATH, Vol. 1102 (4), 2007)
From the Publisher
The author will donate all the proceeds from his royalties to charity, learn more at symmys.com.See all Product Description
Most Helpful Customer Reviews on Amazon.com (beta)
I acknowledge another reviewer's pov that the notation is non-standard, however I have a different reaction. Meucci has designed a notation that uniformly covers what are otherwise highly diverse fields. With this unified notation connections and comparisons are made quickly and effectively across areas that have to date been hard to reconcile. For instance, Chapter 5 on indices of satisfaction: I defy anyone to have a clearer comparison on the certainty equivalent, variance at risk, and coherence measures -- three areas that to my readings of the literature are otherwise unavailable all in one place. As another example: portfolio theory *is* all about multidimensional distributions, and Meucci covers uni- and multi-variate statistics in his first three chapters with deep additions in his technical appendices. Using this as a base it is clear how to construct and forecast the returns on a portfolio.
This book additionally brings robust statistical analysis to the fore. Rather than leaving the reader with a multivariate gaussian models and Markowitz mean-variance optimization Meucci starts in his later chapters a full repeal of these simple approaches and looks both at robust distribution analysis along with robust, or constrained, such as second-order cone programming, analysis of returns and optimization. This is the forefront of risk theory.
Given that Dr. Meucci lectures around the world on these materials and has made so much of his work available and largely free, I find it the height of laziness of the other reviewer to given 1 star and complain about notation. Rather, Meucci's book and material are the starting point for a well-conceived approach to the field and literature.
Unless this weak data is properly integrated into the asset allocation process, an area which Meucci spends too little time on, then the users of quantitative procedures will continue to be disappointed.
Look for similar items by category
- Books > Business & Investing > Finance
- Books > Business & Investing > Investing
- Books > Business & Investing > Management & Leadership > Operations Research
- Books > Business & Investing > Popular Economics
- Books > Professional & Technical > Accounting & Finance > Finance
- Books > Professional & Technical > Business Management > Management & Leadership > Operations Research
- Books > Professional & Technical > Professional Science > Evolution
- Books > Professional & Technical > Professional Science > Mathematics > Applied
- Books > Professional & Technical > Professional Science > Mathematics > Pure Mathematics
- Books > Qualifying Textbooks - Fall 2007 > Business & Investing
- Books > Qualifying Textbooks - Fall 2007 > Science
- Books > Science & Math > Evolution > Game Theory
- Books > Science & Math > Mathematics > Applied > Probability & Statistics
- Books > Science & Math > Mathematics > Popular & Elementary > Counting & Numeration
- Books > Science & Math > Mathematics > Pure Mathematics > Algebra
- Books > Textbooks > Business & Finance > Economics
- Books > Textbooks > Business & Finance > Finance
- Books > Textbooks > Sciences > Mathematics > Algebra & Trigonometry
- Books > Textbooks > Sciences > Mathematics > Statistics