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This encyclopedic detailed discussion covers all the steps assigned from the foundation to the most advanced stage of development.
In-depth analysis of multivariate estimation methods, including nonparametric maximum likelihood, contraction, robustness, and very general Bayesian techniques under unconventional assumptions. Assessment methods such as stochastic dominance, expected utility, risk value, and consistency metrics are discussed in depth in a unified environment and applied to a variety of environments, including prospect theory, total returns, and benchmark allocations.
focuses on portfolio optimization through Bayesian methods, resampling, and robust optimization techniques to deal with estimated risks.
Introduces all statistical and mathematical tools from the basics, such as copulas, positional dispersion ellipsoids, matrix variable distribution, and cone programming. Understanding the support of a large number of figures and examples, as well as case studies of real trading and asset management.
At symmys.com, readers can download supplemental material for free: a workbook; a complete set of MATLAB(r) applications; and a technical appendix for all evidence. More material and full reviews can also be found at symmys.com
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Orignal From: Risk and Asset Allocation
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