Risk and asset allocation
著者
書誌事項
Risk and asset allocation
（Springer finance）
Springer, c2005
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注記
Includes bibliographical references (p. [505]-513) and index
内容説明・目次
内容説明
Discusses in the practical and theoretical aspects of one-period asset allocation, i.e. market Modeling, invariants estimation, portfolia evaluation, and portfolio optimization in the prexence of estimation risk
The book is software based, many of the exercises simulate in Matlab the solution to practical problems and can be downloaded from the book's web-site
目次
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.
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