風(fēng)險(xiǎn)和資產(chǎn)配置
定 價(jià):65 元
- 作者:(美)梅烏奇 著
- 出版時(shí)間:2010/1/1
- ISBN:9787510004926
- 出 版 社:世界圖書出版公司
- 中圖法分類:F272.3
- 頁(yè)碼:532
- 紙張:膠版紙
- 版次:1
- 開本:24開
本書是一部全面介紹風(fēng)險(xiǎn)與資產(chǎn)分配的統(tǒng)計(jì)教材。多變量估計(jì)的方法分析深入,包括非正態(tài)假設(shè)下的無(wú)參和極大似然估計(jì),壓縮理論、魯棒以及一般的貝葉斯技巧。作者用獨(dú)到的眼光講述了資產(chǎn)分配,給出了該學(xué)科的精華。重點(diǎn)突出,包含了MATLAB數(shù)學(xué)工具軟件,對(duì)于以數(shù)學(xué)為中心的投資行業(yè)來(lái)說(shuō)該書是一本必選書。目次:資產(chǎn)分配統(tǒng)計(jì)學(xué);經(jīng)典資產(chǎn)分配;估計(jì)風(fēng)險(xiǎn)的計(jì)算;附錄。
Preface
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 Preface
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