Risk and asset allocation:
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Berlin
Springer
2009
|
| Edition: | Reprint of the 2007 ed. |
| Series: | Springer finance
|
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. 505 - 513 |
| Physical Description: | XXVI, 532 S. graph. Darst. |
| ISBN: | 9783642009648 9783540279044 9783540222132 |
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MARC
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| 100 | 1 | |a Meucci, Attilio |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Risk and asset allocation |c Attilio Meucci |
| 250 | |a Reprint of the 2007 ed. | ||
| 264 | 1 | |a Berlin |b Springer |c 2009 | |
| 300 | |a XXVI, 532 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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| 490 | 0 | |a Springer finance | |
| 500 | |a Literaturverz. S. 505 - 513 | ||
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Record in the Search Index
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| adam_text |
Contents
Preface
.
XV
Audience and style
.
XVII
Structure
of the work
.XVIII
A guided tour by means of a simplistic example
.XIX
Acknowledgments
.XXVI
Part I The statistics of asset allocation
1
Univariate statistics
. 3
1.1
Building blocks
. 3
1.2
Summary statistics
. 9
1.2.1
Location
. 9
1.2.2
Dispersion
. 11
1.2.3
Higher-order statistics
. 14
1.2.4
Graphical representations
. 15
1.3
Taxonomy of distributions
. 16
1.3.1
Uniform distribution
. 16
1.3.2
Normal distribution
. 18
1.3.3
Cauchy distribution
. 20
1.3.4
Student
í
distribution
. 22
1.3.5 Lognormal
distribution
. 24
1.3.6
Gamma distribution
. 26
1.3.7
Empirical distribution
. 28
l.T Technical appendix
.
www
l.E Exercises
.
www
2
Multivariate statistics
. 33
2.1
Building blocks
. 34
2.2
Factorization of a distribution
. 38
2.2.1
Marginal distribution
. 38
2.2.2
Copulas
. 40
VIII Contents
2.3
Dependence
. 45
2.4
Shape summary statistics
. 48
2.4.1
Location
. 48
2.4.2
Dispersion
. 50
2.4.3
Location-dispersion ellipsoid
. 54
2.4.4
Higher-order statistics
. 57
2.5
Dependence summary statistics
. 59
2.5.1
Measures of dependence
. 59
2.5.2
Measures of concordance
. 64
2.5.3
Correlation
. 67
2.6
Taxonomy of distributions
. 70
2.6.1
Uniform distribution
. 70
2.6.2
Normal distribution
. 72
2.6.3
Student
t
distribution
. 77
2.6.4
Cauchy distribution
. 81
2.6.5
Log-distributions
. 82
2.6.6
Wishart
distribution
. 84
2.6.7
Empirical distribution
. 87
2.6.8
Order statistics
. 89
2.7
Special classes of distributions
. 91
2.7.1
Elliptical distributions
. 91
2.7.2
Stable distributions
. 96
2.7.3
Infinitely divisible distributions
. 98
2.T Technical appendix
.
www
2.
E
Exercises
.
www
3
Modeling the market
.101
3.1
The quest for
invariance
.103
3.1.1
Equities, commodities, exchange rates
.105
3.1.2
Fixed-income market
.109
3.1.3
Derivatives
.114
3.2
Projection of the invariants to the investment horizon
.122
3.3
From invariants to market prices
.126
3.3.1
Raw securities
.126
3.3.2
Derivatives
.129
3.4
Dimension reduction
.131
3.4.1
Explicit factors
.133
3.4.2
Hidden factors
.138
3.4.3
Explicit vs. hidden factors
.143
3.4.4
Notable examples
.145
3.4.5
A useful routine
.147
3.5
Case study: modeling the swap market
.150
3.5.1
The market invariants
.150
3.5.2
Dimension reduction
.151
3.5.3
The invariants at the investment horizon
.160
3.5.4
From invariants to prices
.162
Contents
IX
З.Т
Technical
appendix
.www
З.Е
Exercises
.
www
Part II Classical asset allocation
4
Estimating the distribution of the market invariants
.169
4.1
Estimators
.171
4.1.1
Definition
.172
4.1.2
Evaluation
.173
4.2
Nonparametric estimators
.178
4.2.1
Location, dispersion and hidden factors
.181
4.2.2
Explicit factors
.184
4.2.3
Kernel estimators
.185
4.3
Maximum likelihood estimators
.186
4.3.1
Location, dispersion and hidden factors
.190
4.3.2
Explicit factors
.192
4.3.3
The normal case
.193
4.4
Shrinkage estimators
.200
4.4.1
Location
.201
4.4.2
Dispersion and hidden factors
.204
4.4.3
Explicit factors
.209
4.5
Robustness
.209
4.5.1
Measures of robustness
.211
4.5.2
Robustness of previously introduced estimators
.216
4.5.3
Robust estimators
.221
4.6
Practical tips
.223
4.6.1
Detection of outliers
.223
4.6.2
Missing data
.229
4.6.3
Weighted estimates
.232
4.6.4
Overlapping data
.234
4.6.5
Zero-mean invariants
.234
4.6.6
Model-implied estimation
.235
4.T Technical appendix
.
www
4.E Exercises
.
www
5
Evaluating allocations
.237
5.1
Investor's objectives
.239
5.2
Stochastic dominance
.243
5.3
Satisfaction
.249
5.4
Certainty-equivalent (expected utility)
.260
5.4.1
Properties
.262
5.4.2
Building utility functions
.270
5.4.3
Explicit dependence on allocation
.274
5.4.4
Sensitivity analysis
.276
5.5
Quantile (value at risk)
.277
5.5.1
Properties
.278
X
Contents
5.5.2
Explicit dependence
on allocation
.282
5.5.3
Sensitivity
analysis
.285
5.6
Coherent indices (expected shortfall)
.287
5.6.1
Properties
.288
5.6.2
Building coherent indices
.292
5.6.3
Explicit dependence on allocation
.296
5.6.4
Sensitivity analysis
.298
5.T Technical appendix
.
www
5.E Exercises
.
www
6
Optimizing allocations
.301
6.1
The general approach
.302
6.1.1
Collecting information on the investor
.303
6.1.2
Collecting information on the market
.305
6.1.3
Computing the optimal allocation
.306
6.2
Constrained optimization
.311
6.2.1
Positive orthants: linear programming
.313
6.2.2
Ice-cream cones: second-order cone programming
.313
6.2.3
Semidefinite
cones:
semidefinite
programming
.315
6.3
The mean-variance approach
.315
6.3.1
The geometry of allocation optimization
.316
6.3.2
Dimension reduction: the mean-variance framework
. 319
6.3.3
Setting up the mean-variance optimization
.320
6.3.4
Mean-variance in terms of returns
.323
6.4
Analytical solutions of the mean-variance problem
.326
6.4.1
Efficient frontier with
affine
constraints
.327
6.4.2
Efficient frontier with linear constraints
.330
6.4.3
Effects of correlations and other parameters
.332
6.4.4
Effects of the market dimension
.335
6.5
Pitfalls of the mean-variance framework
.336
6.5.1 MV
as an approximation
.336
6.5.2 MV
as an index of satisfaction
.338
6.5.3
Quadratic programming and dual formulation
.340
6.5.4 MV
on returns: estimation versus optimization
.342
6.5.5 MV
on returns: investment at different horizons
.343
6.6
Total-return versus benchmark allocation
.347
6.7
Case study: allocation in stocks
.354
6.7.1
Collecting information on the investor
.355
6.7.2
Collecting information on the market
.355
6.7.3
Computing the optimal allocation
.357
6.T Technical appendix
.
www
6.E Exercises
.
www
Contents
XI
Part III Accounting for estimation risk
Estimating the distribution of the market invariants
.363
7.1
Bayesian estimation
.364
7.1.1
Bayesian posterior distribution
.364
7.1.2
Summarizing the posterior distribution
.366
7.1.3
Computing the posterior distribution
.369
7.2
Location and dispersion parameters
.370
7.2.1
Computing the posterior distribution
.370
7.2.2
Summarizing the posterior distribution
.373
7.3
Explicit factors
.377
7.3.1
Computing the posterior distribution
.377
7.3.2
Summarizing the posterior distribution
.380
7.4
Determining the prior
.383
7.4.1
Allocation-implied parameters
.385
7.4.2
Likelihood maximization
.387
7.T Technical appendix
.
www
7.E Exercises
.
www
Evaluating allocations
.389
8.1
Allocations as decisions
.390
8.1.1
Opportunity cost of a sub-optimal allocation
.390
8.1.2
Opportunity cost as function of the market parameters
. 394
8.1.3
Opportunity cost as loss of an estimator
.397
8.1.4
Evaluation of a generic allocation decision
.401
8.2
Prior allocation
.403
8.2.1
Definition
.403
8.2.2
Evaluation
.404
8.2.3
Discussion
.406
8.3
Sample-based allocation
.407
8.3.1
Definition
.407
8.3.2
Evaluation
.408
8.3.3
Discussion
.412
8.T Technical appendix
.
www
8.
E
Exercises
.
www
Optimizing allocations
.417
9.1
Bayesian allocation
.418
9.1.1
Utility maximization
.419
9.1.2
Classical-equivalent maximization
.421
9.1.3
Evaluation
.422
9.1.4
Discussion
.425
9.2
Black-Litterman allocation
.426
9.2.1
General definition
.426
9.2.2
Practicable definition: linear expertise on normal
markets
.429
9.2.3
Evaluation
.433
9.2.4
Discussion
.436
XII Contents
9.3
Resampled
allocation
.437
9.3.1
Practicable definition: the mean-variance setting
.438
9.3.2
General definition
.440
9.3.3
Evaluation
.443
9.3.4
Discussion
.445
9.4
Robust allocation
.445
9.4.1
General definition
.445
9.4.2
Practicable definition: the mean-variance setting
.450
9.4.3
Discussion
.453
9.5
Robust Bayesian allocation
.454
9.5.1
General definition
.455
9.5.2
Practicable definition: the mean-variance setting
.457
9.5.3
Discussion
.459
9.T Technical appendix
.
www
9.E Exercises
.
www
Part IV Appendices
A Linear algebra
.465
A.I Vector space
.465
A.2 Basis
.468
A.3 Linear transformations
.469
A.3.1 Matrix representation
.470
A.3.2 Rotations
.471
A.4 Invariants
.472
A.4.1 Determinant
.472
A.4.2 Trace
.474
A.4.3 Eigenvalues
.474
A.5 Spectral theorem
.475
A.5.1 Analytical result
.475
A.5.2 Geometrical interpretation
.478
A.6 Matrix operations
.480
A.6.1 Useful identities
.480
A.6.2 Tensors and
Kronecker
product
.482
A.6.3 The
"vec"
and "vech" operators
.483
A.6.4 Matrix calculus
.485
В
Functional Analysis
.487
B.I Vector space
.487
B.2 Basis
.490
B.3 Linear operators
.493
B.3.1 Kernel representations
.494
B.3.2 Unitary operators
.494
B.4 Regularization
.496
B.5 Expectation operator
.499
B.6 Some special functions
.501
Contents XIII
References
.505
List of figures
.515
Notation
.519
Index
.525 |
| any_adam_object | 1 |
| author | Meucci, Attilio |
| author_facet | Meucci, Attilio |
| author_role | aut |
| author_sort | Meucci, Attilio |
| author_variant | a m am |
| building | Verbundindex |
| bvnumber | BV035599889 |
| classification_rvk | QK 810 SK 980 |
| ctrlnum | (OCoLC)404150387 (DE-599)DNB994479352 |
| dewey-full | 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | Reprint of the 2007 ed. |
| format | Book |
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| id | DE-604.BV035599889 |
| illustrated | Illustrated |
| indexdate | 2024-07-20T10:14:06Z |
| institution | BVB |
| isbn | 9783642009648 9783540279044 9783540222132 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017654960 |
| oclc_num | 404150387 |
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| physical | XXVI, 532 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Springer |
| record_format | marc |
| series2 | Springer finance |
| spelling | Meucci, Attilio Verfasser aut Risk and asset allocation Attilio Meucci Reprint of the 2007 ed. Berlin Springer 2009 XXVI, 532 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Springer finance Literaturverz. S. 505 - 513 Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 s Finanzmathematik (DE-588)4017195-4 s Risikomanagement (DE-588)4121590-4 s DE-604 text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3312572&prov=M&dok_var=1&dok_ext=htm Inhaltstext Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017654960&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Meucci, Attilio Risk and asset allocation Portfolio Selection (DE-588)4046834-3 gnd Finanzmathematik (DE-588)4017195-4 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4017195-4 (DE-588)4121590-4 |
| title | Risk and asset allocation |
| title_auth | Risk and asset allocation |
| title_exact_search | Risk and asset allocation |
| title_full | Risk and asset allocation Attilio Meucci |
| title_fullStr | Risk and asset allocation Attilio Meucci |
| title_full_unstemmed | Risk and asset allocation Attilio Meucci |
| title_short | Risk and asset allocation |
| title_sort | risk and asset allocation |
| topic | Portfolio Selection (DE-588)4046834-3 gnd Finanzmathematik (DE-588)4017195-4 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Portfolio Selection Finanzmathematik Risikomanagement |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=3312572&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017654960&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT meucciattilio riskandassetallocation |