风险和资产配置（英文版）

图书标准信息

• 作者 梅乌奇（Attilio Meucci） 著
• 出版社 世界图书出版公司
• 出版时间 2010-01
• 版次 1
• ISBN 9787510004926
• 定价 65.00元
• 装帧 平装
• 开本 24开
• 纸张 其他
• 页数 532页
• 正文语种 英语

【内容简介】

《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。

【目录】

Preface
Audienceandstyle
Structureofthework
Aguidedtourbymeansofasimplisticexample
Acknowledgments

PartⅠThestatisticsofassetallocation
Univariatestatistics
1.1Buildingblocks
1.2Summarystatistics
1.2.1Location
1.2.2Dispersion
1.2.3Higher-orderstatistics
1.2.4Graphicalrepresentations
1.3Taxonomyofdistributions
1.3.1Uniformdistribution
1.3.2Normaldistribution
1.3.3Cauchydistribution
1.3.4Studenttdistribution
1.3.5Lognormaldistribution
1.3.6Gammadistribution
1.3.7Empiricaldistribution
1.TTechnicalappendix
1.EExercises

2Multivariatestatistics
2.1Buildingblocks
2.2Factorizationofadistribution
2.2.1Marginaldistribution
2.2.2Copulas
2.3Dependence
2.4Shapesummarystatistics
2.4.1Location
2.4.2Dispersion
2.4.3Location-dispersionellipsoid
2.4.4Higher-orderstatistics
2.5Dependencesummarystatistics
2.5.1Measuresofdependence
2.5.2Measuresofconcordance
2.5.3Correlation
2.6Taxonomyofdistributions
2.6.1Uniformdistribution
2.6.2Normaldistribution
2.6.3Studenttdistribution
2.6.4Cauchydistribution
2.6.5Log-distributions
2.6.6Wishartdistribution
2.6.7Empiricaldistribution
2.6.8Orderstatistics
2.7Specialclassesofdistributions
2.7.1Ellipticaldistributions
2.7.2Stabledistributions
2.7.3Infinitelydivisibledistributions
2.TTechnicalappendix
2.EExercises

3Modelingthemarket
3.1Thequestforinvariance
3.1.1Equities，commodities，exchangerates
3.1.2Fixed-incomemarket
3.1.3Derivatives
3.2Projectionoftheinvariantstotheinvestmenthorizon
3.3Frominvariantstomarketprices
3.3.1Rawsecurities
3.3.2Derivatives
3.4Dimensionreduction
3.4.1Explicitfactors
3.4.2Hiddenfactors
3.4.3Explicitvs.hiddenfactors
3.4.4Notableexamples
3.4.5Ausefulroutine
3.5Casestudy：modelingtheswapmarket
3.5.1Themarketinvariants
3.5.2Dimensionreduction
3.5.3Theinvariantsattheinvestmenthorizon
3.5.4Frominvariantstoprices
3.TTechnicalappendix
3.EExercises

PartⅡClassicalassetallocation
Estimatingthedistributionofthemarketinvariants
4.1Estimators
4.1.1Definition
4.1.2Evaluation
4.2Nonparametricestimators
4.2.1Location，dispersionandhiddenfactors
4.2.2Explicitfactors
4.2.3Kernelestimators
4.3Maximumlikelihoodestimators
4.3.1Location，dispersionandhiddenfactors
4.3.2Explicitfactors
4.3.3Thenormalcase
4.4Shrinkageestimators
4.4.1Location
4.4.2Dispersionandhiddenfactors
4.4.3Explicitfactors
4.5Robustness
4.5.1Measuresofrobustness
4.5.2Robustnessofpreviouslyintroducedestimators
4.5.3Robustestimators
4.6Practicaltips
4.6.1Detectionofoutliers
4.6.2Missingdata
4.6.3Weightedestimates
4.6.4Overlappingdata
4.6.5Zero-meaninvariants
4.6.6Model-impliedestimation
4.TTechnicalappendix
4.EExercises

5Evaluatingallocations
5.1Investorsobjectives
5.2Stochasticdominance
5.3Satisfaction
5.4Certainty-equivalent（expectedutility）
5.4.1Properties
5.4.2Buildingutilityfunctions
5.4.3Explicitdependenceonallocation
5.4.4Sensitivityanalysis
5.5Quantile（valueatrisk）
5.5.1Properties
5.5.2Explicitdependenceonallocation
5.5.3Sensitivityanalysis
5.6Coherentindices（expectedshortfall）
5.6.1Properties
5.6.2Buildingcoherentindices
5.6.3Explicitdependenceonallocation
5.6.4Sensitivityanalysis
5.TTechnicalappendix
5.EExercises

6Optimizingallocations
6.1Thegeneralapproach
6.1.1Collectinginformationontheinvestor
6.1.2Collectinginformationonthemarket
6.1.3Computingtheoptimalallocation
6.2Constrainedoptimization
6.2.1Positiveorthants：linearprogramming
6.2.2Ice-creamcones：second-orderconeprogramming
6.2.3Semidefinitecones：semidefiniteprogramming
6.3Themean-varianceapproach
6.3.1Thegeometryofallocationoptimization
6.3.2Dimensionreduction：themean-varianceframework
6.3.3Settingupthemean-varianceoptimization
6.3.4Mean-varianceintermsofreturns
6.4Analyticalsolutionsofthemean-varianceproblem
6.4.1Efficientfrontierwithaffmeconstraints
6.4.2Efficientfrontierwithlinearconstraints
6.4.3Effectsofcorrelationsandotherparameters
6.4.4Effectsofthemarketdimension
6.5Pitfallsofthemean-varianceframework
6.5.1MVasanapproximation
6.5.2MVasanindexofsatisfaction
6.5.3Quadraticprogramminganddualformulation
6.5.4MVonreturns：estimationversusoptimization
6.5.5MVonreturns：investmentatdifferenthorizons
6.6Total-returnversusbenchmarkallocation
6.7Casestudy：allocationinstocks
6.7.1Collectinginformationontheinvestor
6.7.2Collectinginformationonthemarket
6.7.3Computingtheoptimalallocation
6.TTechnicalappendix
6.EExercises

PartⅢAccountingforestiamationrisk
PartⅣAppendices