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£75.98

Springer Risk and Asset Allocation (Springer Finance)

Name: Risk and Asset Allocation (Springer Finance)
Brand: Springer
Price: 75.98 GBP
Availability: InStock

Decision Making

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Description

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

Key Features

Risk and Asset Allocation: At symmys.com the reader will find freely downloadable complementary materials: the Exercise Book; a set of thoroughly ... with all the proofs (Springer Finance)

Product type: ABIS BOOK

Brand: Jumper

Product Specifications

Brand: Springer
Format: Hardcover
ASIN: 3540222138
Category: Books > Subjects > Business, Finance & Law > Management > Management Skills > Decision Making
Domain: Amazon UK
Release Date: 08 June 2005
Listed Since: 12 February 2007

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Springer Risk and Asset Allocation (Springer Finance)

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