Risk and asset allocation

This book provides a comprehensive treatment of all the steps of asset allocation: detecting the market invariants; estimating the invariants' distribution; modeling the market at any horizon; defining optimality; accounting for estimation- and model-risk; including the practitioner's experience within a sound statistical framework; computing the investor's optimal allocation. Almost all results are proved explicitly in technical appendices that can be downloaded freely from the book's web-site. Each chapter ends with a set of exercises. Many of the exercises simulate in Matlab the solution to practical problems and can be downloaded from the book's web-site. TOC:Preface.- One-dimensional Random Variables.- Multi-dimensional Random Variables.- Modelling the Market.- Estimating the Invariants Distribution.- Evaluating Allocations.- Optimizing Allocations.- Estimation and Optimization together.- Appenices: Linear Algebra.- Functional Analysis.- References.- Index