Meucci Risk And Asset Allocation Pdf

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Attilio Meucci is a statistician and financial engineer, who specializes in quantitative risk management and quantitative portfolio management. From Wikipedia, the free encyclopedia. The Wall Street Journal.

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Risk and Asset Allocation

Skip to search form Skip to main content You are currently offline. Some features of the site may not work correctly. In recent years the practitioners and academic financial community has witnessed a surge in interest in the concept of risk parity, as well as the broader concept of diversification management, see [Roncalli, ] for a review and references. In traditional risk parity, diversification is measured in terms of marginal risk contributions from each individual risk factor. Such contributions are spurious, because in reality they contain effects from all the factors at once. Save to Library. Create Alert.

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.


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Attilio Meucci is a statistician and financial engineer, who specializes in quantitative risk management and quantitative portfolio management. From Wikipedia, the free encyclopedia. The Wall Street Journal. Retrieved 12 February Namespaces Article Talk.

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Updated 19 Jan View Version History. The routines include many new features: - more uni-, multi- and matrix-variate distributions - more copulas - more graphical representations - more analyses in terms of the location-dispersion ellipsoid.

2 Response
  1. Soren L.

    Attilio Meucci. Risk and. Asset Allocation. With Figures. X is by means of the probability density function (pdf) f[. Intuitively, the pdf shows a peak where.

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