Risk and Asset Allocation

Authors:

ISBN: 978-3-540-22213-2 (Print) 978-3-540-27904-4 (Online)

Table of contents (9 chapters)

  1. Front Matter

    Pages I-XXVI

  2. The statistics of asset allocation

    1. Front Matter

      Pages 1-1

    2. No Access

      Book Chapter

      Pages 3-31

      Univariate statistics

    3. No Access

      Book Chapter

      Pages 33-99

      Multivariate statistics

    4. No Access

      Book Chapter

      Pages 101-166

      Modeling the market

  3. Classical asset allocation

    1. Front Matter

      Pages 167-167

    2. No Access

      Book Chapter

      Pages 169-236

      Estimating the distribution of the market invariants

    3. No Access

      Book Chapter

      Pages 237-300

      Evaluating allocations

    4. No Access

      Book Chapter

      Pages 301-359

      Optimizing allocations

  4. Accounting for estimation risk

    1. Front Matter

      Pages 361-361

    2. No Access

      Book Chapter

      Pages 363-388

      Estimating the distribution of the market invariants

    3. No Access

      Book Chapter

      Pages 389-416

      Evaluating allocations

    4. No Access

      Book Chapter

      Pages 417-461

      Optimizing allocations

  5. Back Matter

    Pages 463-532