Risk and Asset Allocation (Springer Finance)

Meucci, Attilio

ISBN 10: 3540222138 / ISBN 13: 9783540222132

Edité par Springer, 2005

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Synopsis :

A comprehensive treatment of all the steps of asset allocation, including market modeling, invariants estimation, portfolia evaluation, etc. Almost all results are proved explicitly in technical appendices that can be downloaded freely from the book's web-site. Each chapter ends with a set of exercises. Many of the exercises simulate - in Matlab - the solution to practical problems and can be downloaded from the book's web-site.

À propos de l?auteur:

Attilio Meucci holds a BA summa cum laude in Physics and a PhD in Mathematics from the University of Milan, an MA in Economics from Bocconi University in Milan, and is CFA chartholder.

Attilio Meucci is a vice president at Lehman Brothers, Inc., New York, in the fixed-income research division. Previously, the author was a trader at Relative Value International, a hedge fund in Greenwich, CT that trades in equities and fixed-income securities worldwide. Previously, he was a consultant in the Milan office of Bain & Co., where he designed tools of personal financial planning, credit-and market-risk management, portfolio insurance, tactical and strategic asset allocation.

Attilio Meucci is the author of several publications in mathematics and finance and has taught graduate courses on Asset Allocation and Risk Management worldwide.

Détails bibliographiques

Titre : Risk and Asset Allocation (Springer Finance)
Éditeur : Springer
Date d'édition : 2005
Reliure : hardcover
Etat : Good