“This exciting new book takes a fresh look at asset allocation and offers up a masterly account of this
important subject. The quantitative emphasis and included MATLAB software make it a must-read for the
mathematically oriented investment professional”
important subject. The quantitative emphasis and included MATLAB software make it a must-read for the
mathematically oriented investment professional”
| Peter Carr, Head of Quantitative Research, Bloomberg LP |
“Meucci’s Risk and Asset Allocation is one of those rare books that takes a completely fresh look at a
well-studied problem, optimal financial portfolio allocation based on statistically estimated models of risk
and expected return. Designed for graduate students or quantitatively oriented asset managers, Meucci
provides a sophisticated and integrated treatment, from investment theory, to optimization methods, to
statistical analysis of multi-variate return data, through computational implementation of the results. This
is rigorous and relevant!”
well-studied problem, optimal financial portfolio allocation based on statistically estimated models of risk
and expected return. Designed for graduate students or quantitatively oriented asset managers, Meucci
provides a sophisticated and integrated treatment, from investment theory, to optimization methods, to
statistical analysis of multi-variate return data, through computational implementation of the results. This
is rigorous and relevant!”
| Darrell Duffie, Professor of Finance, Graduate Business School, Stanford University |
“A wonderful book! Mathematically rigorous and yet practical, heavily illustrated with graphs and worked
examples, Attilio Meucci has written a comprehensive treatment of asset allocation starting from
statistical concepts, covering investment primitives, and leading to portfolio optimization in a Bayesian
context with parameter uncertainty.”
examples, Attilio Meucci has written a comprehensive treatment of asset allocation starting from
statistical concepts, covering investment primitives, and leading to portfolio optimization in a Bayesian
context with parameter uncertainty.”
| Bob Litterman, Head of Quantitative Resources, Goldman Sachs Asset Management |
“This book takes the reader on a journey through portfolio management starting with the basics and
reaching some fascinating terrain. Attilio Meucci shows a real talent for explaining the most difficult of
subjects in a very clear manner.”
reaching some fascinating terrain. Attilio Meucci shows a real talent for explaining the most difficult of
subjects in a very clear manner.”
| Paul Wilmott, wilmott.com |
“This book fills a gap...It brings together in a logical sequence a vast sway of work by statisticians and
economists on optimal allocation among risky assets...Meucci’s book is comprehensive and rigorous,
from presenting basic statistical tools to framing the optimisation problem and solving it.”
economists on optimal allocation among risky assets...Meucci’s book is comprehensive and rigorous,
from presenting basic statistical tools to framing the optimisation problem and solving it.”
| Risk Magazine April 2006, review by Jacques Pezier, ICMA Centre, University of Reading |
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“This book presents a detailed and well-explained introduction to one-period asset allocation techniques...
the book gives an impressive and comprehensive introduction to static one-period asset allocation. It
explains most of the concepts intuitively and with a minimal mathematical machinery...For practitioners,
the book serves as a theoretical basis of their actual work. For students of finance and economics it gives
a self-contained overview of the main quantitative concepts in the subject.”
the book gives an impressive and comprehensive introduction to static one-period asset allocation. It
explains most of the concepts intuitively and with a minimal mathematical machinery...For practitioners,
the book serves as a theoretical basis of their actual work. For students of finance and economics it gives
a self-contained overview of the main quantitative concepts in the subject.”
| SIAM Review Vol. 48 (3), 2006, by Ludger Overbeck, University of Giessen |
“The book offers a wide exposition of the main approaches to asset allocation, starting from the classical
models up to the recent developments in portfolio management. By virtue of the sequential structure of the
subjects and the simple but efficacious mathematical treatment, the monograph is useful for graduate
students and quantitatively-oriented practitioners too. The book is complemented by online resources,
consisting of software applications performed by MATLAB.”
models up to the recent developments in portfolio management. By virtue of the sequential structure of the
subjects and the simple but efficacious mathematical treatment, the monograph is useful for graduate
students and quantitatively-oriented practitioners too. The book is complemented by online resources,
consisting of software applications performed by MATLAB.”
| Zentralblatt MATH Vol. 1102 (4), 2007, by Emilia Di Lorenzo, University of Naples |
"One More Reason": the author donates his royalties in full to charity
