Attilio Meucci - Risk and Asset Allocation, Springer

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 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.

CHAPTERS

Ch 1/2: Uni- and multi-variate statistics, see here
Ch 3:   Quest for Invariance, see here
Ch 3:   Projection of invariants to investment horizon, see here
Ch 3:   Pricing of individual securities, see here
Ch 3:   Linear factor models (PCA, time series,…), see here
Ch 3:   Swaps modeling using Principal Component Analysis, see here
Ch 4:   Multivariate estimation (non-parametric, MLE, shrinkage, robust,…), see here
Ch 5:   Risk evaluation (stochastic dominance, expected utility, VaR, CVaR, spectral measures,…), see here
Ch 6:   Portfolio optimization (mean-variance, cone programming, benchmark allocation,…), see here
Ch 7: Bayesian estimation, see here
Ch 8:   Estimation risk evaluation, see here
Ch 9:   Estimation risk and allocation optimization (Bayes, Black-Litterman, robust,…), see here
App A: Linear Algebra, see here
App B: Functional Analysis, see here

TECHNICAL PROOFS

Tedious proofs and technical results, see here

APPLICATIONS

MATLAB code for advanced risk and portfolio management, see here

EXERCISES

Challenges, pitfalls and step-by-step solutions with MATLAB code, see here

ERRATA

A few typos, see here

“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.”

- Zentralblatt MATH

“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.”

- SIAM Review

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

- Peter Carr

“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.”

- Risk Magazine

“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.”

- Paul Wilmott

“...Thank you for writing your “Risk and Asset Allocation” book.... You've been a help. Thank you!...”

- Nathan Shetty

“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.”

- Bob Litterman

“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!”

- Darrell Duffie

You can order here your copy of the book Alternatively, below you can find a non-exhaustive list of vendors.

North America

»Springer N.America »amazon.com »Barnes and Noble

Canada

»amazon.ca

South America

»Springer S.America

Europe

»Springer (Europe, UK, Germany & Switzerland) »amazon.uk »amazon.de »amazon.fr

Africa

»Springer Africa

Asia

»Springer Asia

Oceania

»Springer Ocean