Risk and Asset Allocation

Risk and Asset Allocation

Analyzes multivariate estimation methods, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, and general Bayesian techniques. Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust o...

Ausführliche Beschreibung

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Bibliographische Detailangaben
1. Verfasser: Meucci, Attilio
Format: Buch
Sprache:eng
Schlagworte:
Affectation de l'actif
Asset allocation
Assets
Economic conditions
Finance
Finance, general
Financial economics
Gestion de portefeuille
Gestion du risque
Linear and Multilinear Algebras, Matrix Theory
Mathematics and Statistics
Money
Multivariate analysis
Operations Research/Decision Theory
Portfolio management
Quantitative Finance
Risk management
Statistical Theory and Methods
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Beschreibung
Zusammenfassung:Analyzes multivariate estimation methods, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, and general Bayesian techniques. Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust optimization techniques.
ISSN:1616-0533
DOI:10.1007/978-3-540-27904-4