Ch 9: Estimation risk and allocation optimization (Bayes, Black-Litterman, Python and MATLAB code for advanced risk and portfolio management, see here . Risk and Asset Allocation has 24 ratings and 3 reviews. Max said: Not a bad book, but not what I was looking for. The book has extensive coverage of dist. mathematical finance but foreign exchanges, term structure, risk management, portfolio theory Attilio Meucci. Risk and. Asset Allocation. With Figures. .

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Luc Basescu added it Aug assst, To see what your friends thought of this book, please sign up. Fabio rated it really liked it May 26, Xiaoyu Ouyang added it Jun 10, But, it’s not always obvious which ones represent something that should be calculated, and which represent idealized functions. Open Preview See a Problem?

Risk and Asset Allocation

Buy this as a reference work if you like portfolio construction as a branch of pure maths. Books by Attilio Meucci.

Thanks for telling us about the problem. Jean is currently reading it Feb 27, 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 aasset contexts, including prospect theory, total return and benchmark allocation.


Alexander rated it really liked it Mar 19, I’ve got a PhD in maths, so it’s not the depth that bothers me, it’s the use of the maths. Dimitris added it Jan 17, To ask other readers questions about Risk and Asset Allocationplease sign up.

Shin Furuya rated it really liked it Aug 08, Adam rated wllocation really liked it Mar 12, Be the first to ask a question about Risk and Asset Allocation. But, it’s not always obvious which ones represent something that should be calculated, Not a bad book, but not what I was looking for. Daniel marked it as to-read Riks 12, Samprabhu Rubandhas rated it it was amazing Apr 11, Comprehension is supported by a large number of figures and examples, as well as real trading and asset management case studies.

Tim Booher marked it as to-read Mar 09, Sep 17, Joris Esch rated it it was amazing. Casey Conger rated it it was amazing Dec 03, Anton marked it as to-read Aug 23, No trivia or axset yet.

Risk and Asset Allocation by Attilio Meucci

Easily includes more than a thousand equations, most discussed in detail. Qnd marked it as to-read Sep 19, Trivia About Risk and Asset Al It covers topics I didn’t know exist. If you like books and love to build cool products, we may be looking for you.


Meucci offers the best available mathematical finance foundation applicable to the investment industry buy-side.

Nathaniel Forde rated it it was amazing Jan 06, The book has extensive coverage of distributions normal, lognormal, Cauchy, Student’s t, Chi, Wishartfactor models, common mistakes people make with factor models, mean-variance optimization, Bayesian analysis, Black-Litterman, estimation error, etc.

Jake marked it as to-read Apr 20, Jul 20, Max Lybbert rated it liked it.

Refresh and try again. For a more practical approach to the same problems, call me. Saurabh Jain marked it as to-read May 01, Phil rated it really liked it Jan 06, Aftilio Wright rated it liked it Jun 01, Lists with This Book. Joseph L D’Anna rated it really liked it Jul 28, Jun 09, Frank Ashe attlio it it was ok Shelves: Joshua Knechtel added it Apr 27, Steve marked it as to-read Nov 11,