File Name: meucci risk and asset allocation .zip
- Measuring Portfolio Diversification Based on Optimized Uncorrelated Factors Attilio Meucci
- Select a Web Site
- Risk and Asset Allocation
Measuring Portfolio Diversification Based on Optimized Uncorrelated Factors Attilio Meucci
Anderson, R. Will my risk parity strategy outperform? Financial Analysts Journal, 68 6 , 75 - Ardia, D. The impact of covariance misspecification in risk-based portfolios. Annals of Operations Research, , Asness, C. Leverage aversion and risk parity. Financial Analyst Journal, 68 1 , 47 - Bai, X. Least-squares approach to risk parity in portfolio selection.
Quantitative Finance, 16 3 , - Barry, C. Portfolio analysis under uncertain means, variances, and covariances. The Journal of Finance, 29 2 , - Benartzi, S. Naive diversification strategies in defined contribution saving plans.
American Economic Review, 91 1 , 79 - Best, M. On the sensitivity of mean-variance-efficient portfolios to changes in asset means: Some analytical and computational results.
The Review of Financial Studies, 4 2 , - Bhansali, V. Active risk parity. The Journal of Investing, 21 3 , 88 - The risk in risk parity : A factor based analysis of asset -based risk parity.
The Journal of Investing, 21 3 , Black, F. Asset allocation. The Journal of Fixed Income, 1 2 , 7 Global portfolio optimization. Financial Analysts Journal, 48 5 , 28 - Booth, D.
Diversification returns and asset contributions. Financial Analysts Journal, 48 3 , 26 - Bridgewater Associates. Risk parity is balance [White paper]. Carvalho, R. Demystifying equity risk - based strategies: A simple alpha plus beta description.
The Journal of Portfolio Management, 38 3 , 56 - Chan, L. On portfolio optimization: Forecasting covariances and choosing the risk model. The Review of Financial Studies, 12 5 , - Chaves, D. Risk parity portfolio vs. The Journal of Investing, 20 1 , - Efficient algorithms for computing risk parity portfolio weights. The Journal of Investing, 21 3 , - Chopra, V. The effect of errors in means, variances, and covariances on optimal portfolio choice. The Journal of Portfolio Management, 19 2 , 6 - Choueifaty, Y.
Toward maximum diversification. The Journal of Portfolio Management, 35 1 , 40 - Clarke, R. Risk allocation versus asset allocation. Journal of Portfolio Management, 29 1 , 9 - Risk parity, maximum diversification, and minimum variance: An analytic perspective.
The Journal of Portfolio Management, 39 3 , 39 - Cooper, H. Synthesizing research: A guide for literature reviews. California: Sage Publications. DeMiguel, V. The Review of Financial Studies, 22 5 , Duchin, R.
Markowitz versus the Talmudic portfolio diversification strategies. The Journal of Portfolio Management, 35 2 , 71 - Evans, J.
Diversification and the reduction of dispersion: An empirical analysis. The Journal of Finance, 23 5 , - Finetti, B. Il problemadeipieni. Barone available as The problem of full-risk insurances]. Fisher, G. Risk parity optimality. The Journal of Portfolio Management, 41 2 , 42 - Hart, C. Doing a literature review: Releasing the social science research imagination.
London: Sage Publications. Huberman, G. Offering vs. The Journal of Finance, 61 2 , - Inker, B. The dangers of risk parity.
The Journal of Investing, 20 1 , 90 - Jain, A. Jennex, M. Communications of the Association for Information Systems, 36 8 , Jorion, P. International portfolio diversification with estimation risk. The Journal of Business, 58 3 , - Bayes - Stein estimation for portfolio analysis. The Journal of Financial and Quantitative Analysis, 21 3 , - Kalymon, B.
Estimation risk in the portfolio selection model. The Journal of Financial and Quantitative Analysis, 6 1 , - Kaya, H. Demystifying risk parity Neuberger Berman White Paper. Ledoit, O. Honey, I shrunk the sample covariance matrix.
Select a Web Site
This encyclopedic, self-contained, detailed exposition spans all the steps of one-period allocation from the basics to the most advanced and recent developments. A variety of multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, etc. Evaluation methods such as stochastic dominance, expected utility, value at risk and coherent measures are thoroughly analyzed in a unified setting and applied in a variety of contexts, including total return and benchmark allocation, prospect theory, etc. Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust optimization techniques. This work is both a reference for practitioners and a textbook for students. The only prerequisites are linear algebra and multivariate calculus. All the statistical tools, such as copulas, location-dispersion ellipsoids and matrix-variate distribution theory, are introduced from the basics.
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.
The system can't perform the operation now. Try again later. Citations per year. Duplicate citations. The following articles are merged in Scholar. Their combined citations are counted only for the first article.
Risk and Asset Allocation
Attilio Meucci is a statistician and financial engineer, who specializes in quantitative risk management and quantitative portfolio management. From Wikipedia, the free encyclopedia. The Wall Street Journal.
Updated 19 Jan View Version History. The routines include many new features: - more uni-, multi- and matrix-variate distributions - more copulas - more graphical representations - more analyses in terms of the location-dispersion ellipsoid.
Auf Verordnung des Bundesrates bleiben alle unsere Filialen vom Sollte Ihre Bestellung bereits in der Filiale abholbereit sein, kontaktieren wir Sie telefonisch. Solage unsere Filialen geschlossen sind, liefern wir Ihre Bestellung mit Filialabholung automatisch per Post portofrei zu Ihnen nach Hause sofern Ihre Adresse bei uns hinterlegt ist. Weitere Informationen finden Sie hier: www. Weitere Informationen zu unseren Apps finden Sie hier.
Халохот продолжал двигаться. Расстояние между ним и Беккером быстро сокращалось. Он нащупал в кармане пиджака пистолет.