A comprehensive treatment of all the steps of asset allocation, including market modeling, invariants estimation, portfolia evaluation, etc. Almost all results are proved explicitly in technical appendices that can be downloaded freely from the book's web-site. Each chapter ends with a set of exercises. Many of the exercises simulate - in Matlab - the solution to practical problems and can be downloaded from the book's web-site.

The only book that truly discusses in a self-contained and general way all the practical and theoretical aspects of one-period asset allocation, i.e. market Modeling, invariants estimation, portfolia evaluation, and portfolio optimization in the presence of estimation risk The choice of the subjects is "bottom-up", the approach is "top-down" Software based, many of the exercises simulate in Matlab the solution to practical problems and can be downloaded from the book's web-site Includes supplementary material: sn.pub/extras

Autorentext

Attilio Meucci holds a BA summa cum laude in Physics and a PhD in Mathematics from the University of Milan, an MA in Economics from Bocconi University in Milan, and is CFA chartholder. Attilio Meucci is a vice president at Lehman Brothers, Inc., New York, in the fixed-income research division. Previously, the author was a trader at Relative Value International, a hedge fund in Greenwich, CT that trades in equities and fixed-income securities worldwide. Previously, he was a consultant in the Milan office of Bain & Co., where he designed tools of personal financial planning, credit-and market-risk management, portfolio insurance, tactical and strategic asset allocation. Attilio Meucci is the author of several publications in mathematics and finance and has taught graduate courses on Asset Allocation and Risk Management worldwide.

Inhalt
The statistics of asset allocation.- Univariate statistics.- Multivariate statistics.- Modeling the market.- Classical asset allocation.- Estimating the distribution of the market invariants.- Evaluating allocations.- Optimizing allocations.- Accounting for estimation risk.- Estimating the distribution of the market invariants.- Evaluating allocations.- Optimizing allocations.