|
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. Comprehension is supported by a large number of figures and examples, as well as real trading and asset management case studies.
At symmys.com the reader will find freely downloadable complementary materials: the Exercise Book; a set of thoroughly documented MATLAB® applications; and the Technical Appendices with all the proofs. More materials and complete reviews can also be found at symmys.com.
Market-Oriented Grid and Utility Computing (Wiley Series on Parallel and Distributed Computing) Автор: Rajkumar Buyya, Kris Bubendorfer Год: 2009 |
Cases and Materials on Water Law (American Casebook Series) Автор: George A. Gould, Douglas L. Grant, Gregory S. Weber Год: 2005 |
Risk and asset allocation Автор: Attilio Meucci Год: 2005 |
Emissions Trading and Competitiveness Allocations, Incentives and Industrial Competitiveness under the EU Emissions Trading Scheme Автор: Michael Grubb, Karsten M. Neuhoff Год: 2006 |
Market-Oriented Grid and Utility Computing (Wiley Series on Parallel and Distributed Computing) Автор: Rajkumar Buyya, Kris Bubendorfer Год: 2009 |
Market-Oriented Grid and Utility Computing (Wiley Series on Parallel and Distributed Computing) Автор: Rajkumar Buyya, Kris Bubendorfer Год: 2009 |