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(r) applications; and the Technical Appendices
with all the proofs. More materials and complete reviews can also
be found at symmys.com.
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