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. Comprehension is supported by a
large number of figures and examples, as well as real trading and asset management case studies.
On this site the reader will find freely downloadable complementary materials: a set of thoroughly
documented MATLAB applications; the Technical Appendices with all the proofs; the Slides, the whole
book in presentation format. More materials and complete reviews can also be found on this site.
All the proceeds from the author's royalties will be donated to charity. Any feedback on the book, the
online material and the charity policy is greatly appreciated.
