Risk and Asset Allocation (Springer Finance) Paperback – 2 Jun 2010
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From the reviews:
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, Head of Quantitative Research, Bloomberg LP, Director of Masters in Mathematical Finance program, NYU
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!
Darrel Duffie, Professor of 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.
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.
Paul Wilmott, wilmott.com
"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." (Ludger Overbeck, SIAM Review, Vol. 48 (3), 2006)
"This book delves into the classical mathematics of portfolio optimization with a few nods to more recent developments in risk measurement such as value-at-risk and copulas. … For anyone with an interest in the mathematics of portfolio optimization, the book is certainly worth a look. … The author covers a wealth of statistical and optimization techniques that are worth reading about." (www.riskbook.com, May, 2006)
"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 … ." (Emilia Di Lorenzo, Zentralblatt MATH, Vol. 1102 (4), 2007)
From the Publisher
The author will donate all the proceeds from his royalties to charity, learn more at symmys.com. --This text refers to the Hardcover edition.See all Product Description
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Top Customer Reviews
Good at Math:
This is amazing book if you really know your math, e.g. truly understand Fourier transformations to get chracteristic functions from the pdfs and are interested in thinking on that level. The author always gives analytical solutions and shows carefully the mathematical reasoning. There is more, lots of really good Matlab material, which show how to write the code in question, and awesome powerpoint slides available for teaching. As it covers all the material, but not "strong views" about the topic, it is a good book for courses in advanced mathematical finance, on condition that Matlab is available for exercises. Works great as a reference book in the shelves of hardcore quants too, as it is well-written and he always refers to the other chapters in the book when needed. Absolutely 5 stars.
Know some or no math:
It may get frustrating, as you might not get anything concrete out of it. The book explains everything highly logically, but you are supposed to nail your math elsewhere, as the author does not really translate anything to practical "low level" details. Also, the book does not spell out any heuristic or practical approach, "DO/LEARN IT LIKE THIS" the ordinary applied finance guy would like. The applied guy would be happy with 90% less mathematical reasoning, and 20% more rules of thumb applications. You are supposed to be interested in the MATH part of the topic! This is why, it might not be the best book for people studying on their own, unless you are strong in Math and Matlab.Read more ›
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