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, totalreturn 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 downloadablecomplementary 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." 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 INDICE: Preface.- One-dimensional Random Variables.- Multi-dimensional Random Variables.- Modelling the Market.- Estimating the Invariants Distribution.- Evaluating Allocations.- Optimizing Allocations.- Estimation and Optimization together.- Appendices: Linear Algebra.- Functional Analysis.- References.- Index.
- ISBN: 978-3-642-00964-8
- Editorial: Springer
- Encuadernacion: Rústica
- Páginas: 532
- Fecha Publicación: 22/05/2009
- Nº Volúmenes: 1
- Idioma: Inglés