作者：梅乌奇(Attilio Meucci)
页数：532
出版社：世界图书出版公司
出版日期：2010
ISBN：9787510004926
电子书格式：pdf/epub/txt
内容简介
本书是一部全面介绍风险与资产分配的统计教材。多变量估计的方法分析深入，包括非正态假设下的无参和极大似然估计，压缩理论、鲁棒以及一般的贝叶斯技巧。作者用独到的眼光讲述了资产分配，给出了该学科的精华。重点突出，包含了matlab数学工具软件，对于以数学为中心的投资行业来说该书是一本必选书。目次：资产分配统计学；经典资产分配；估计风险的计算；附录。
相关资料
插图：The financial markets contain many sources of risk. When dealing with severalsources of risk at a time we cannot treat them separately: the joint structureof multi-dimensionai randomness contains a wealth of information that goesbeyond the juxtaposition of the information contained in each single variable.In this chapter we discuss multivariate statistics. The structure of thischapter reflects that of Chapter 1: to ease the comprehension of the multi-variate case refer to the respective section in that chapter. For more on thissubject see also references such as Mardia, Kent, and Bibby （1979）, Press（1982） and Morrison （2002）.In Section 2.1 we introduce the building blocks of multivariate distributionswhich are direct generalizations of the one-dimensional case. These include thethree equivalent representations of a distribution in terms of the probabilitydensity function, the characteristic function and the cumulative distributionfunction.In Section 2.2 we discuss the factorization of a distribution into its purelyunivariate components, namely the marginal distributions, and its purely jointcomponent, namely the copula. To present copulas we use the leading exampleof vanilla options.In Section 2.3 we introduce the concept of independence among randomvariables and the related concept of conditional distribution.In Section 2.4 we discuss the location summary statistics of a distributionsuch as its expected value and its mode, and the dispersion summary statisticssuch as the covariance matrix and the modal dispersion. We detail the geo- metrical representations of these statistics in terms of the location-dispersionellipsoid, .and their probabilistic interpretations in terms of a multivariateversion of Chebyshev’s inequality. We conclude introducing more summarystatistics such as the multivariate moments, which provide a deeper insightinto the shape of a multivariat
本书特色
《风险和资产配置(英文版)》是由世界图书出版公司出版的。
目录
audience and style
structure of the work
a guided tour by means of a simplistic example
acknowledgments
part i the statistics of asset allocation
1 univariate statistics
1.1 building blocks
1.2 summary statistics
1.3 taxonomy of distributions
1.t technical appendix
1.e exercises
2 multivariate statistics
2.1 building blocks
2.2 factorization of a distribution
2.3 dependence
2.4 shape summary statistics
2.5 dependence summary statistics
2.6 taxonomy of distributions
2.7 special classes of distributions
2.t technical appendix
2.e exercises
3 modeling the market
3.1 the quest for invariance
3.2 projection of the invariants to the investment horizon.
3.3 from invariants to market prices
3.4 dimension reduction
3.5 case study: modeling the swap market
3.t technical appendix
3.e exercises
part ii classical asset allocation
4 estimating the distribution of the market invariants
4.1 estimators
4.2 nonparametric estimators
4.3 maximum likelihood estimators
4.4 shrinkage estimators
4.5 robustness
4.6 practical tips
4.t technical appendix
4.e exercises
5 evaluating allocations
5.1 investor’s objectives
5.2 stochastic dominance
5.3 satisfaction
5.4 certainty-equivalent (expected utility)
5.5 quantile (value at risk)
5.6 coherent indices (expected shortfall)
5.t technical appendix
5.e exercises
6 optimizing allocations
part iii accounting for estimation risk
7 estimating the distribution of the market invariants
8 evaluating allocations
9 optimizing allocations
part iv appendices
a linear algebra
b functional analysis
references
list of figures
notation
index
节选
《风险和资产配置(英文版)》是一部全面介绍风险与资产分配的统计教材。多变量估计的方法分析深入，包括非正态假设下的无参和极大似然估计，压缩理论、鲁棒以及一般的贝叶斯技巧。作者用独到的眼光讲述了资产分配，给出了该学科的精华。重点突出，包含了MATLAB数学工具软件，对于以数学为中心的投资行业来说该书是一本必选书。
