Risk and Asset Allocation
Publication year: 2005
ISBN: 978-3-540-27904-4
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This encyclopedic, self-contained, detailed exposition spans all the steps of one-period allocation from the basics to the most advanced and recent developments. A variety of multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, etc., in addition to very general multivariate Bayesian techniques.
Subject: Mathematics and Statistics, Asset Allocation, Asset Management, MATLAB, Matrix, Multivariate statistics, Portfolio, Portfolio Optimization, Random variable, Resampling, linear algebra, optimization
