风险和资产配置(英文版)

风险和资产配置(英文版)
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作者: (Attilio Meucci)
2010-01
版次: 1
ISBN: 9787510004926
定价: 65.00
装帧: 平装
开本: 24开
纸张: 其他
页数: 532页
正文语种: 英语
分类: 经济
40人买过
  • 《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。 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
  • 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
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