24小时热门版块排行榜

返回列表

当前主题已经存档。

jqwhy

荣誉版主 (知名作家)

应助: 1 (幼儿园)
贵宾: 3.45
金币: 12805.9
散金: 14
红花: 2
帖子: 5462
在线: 103.2小时
虫号: 76482
注册: 2005-06-24
专业: 药物化学
管辖: 催化

[交流] Risk and Asset Allocation 2005新书哦

Risk and Asset Allocation

http://rapidshare.de/files/23846991/Risk_and_Asset_Allocation.pdf

介绍

http://www.springer.com/west/hom ... 40109-22-35029456-0

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.

回复此楼