Risk and Asset Allocation

  • Attilio Meucci

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-XXVI
  2. The statistics of asset allocation

    1. Front Matter
      Pages 1-1
    2. Attilio Meucci
      Pages 3-31
    3. Attilio Meucci
      Pages 33-99
    4. Attilio Meucci
      Pages 101-166
  3. Classical asset allocation

    1. Front Matter
      Pages 167-167
    2. Attilio Meucci
      Pages 237-300
    3. Attilio Meucci
      Pages 301-359
  4. Accounting for estimation risk

    1. Front Matter
      Pages 361-361
    2. Attilio Meucci
      Pages 389-416
    3. Attilio Meucci
      Pages 417-461
  5. Back Matter
    Pages 463-532

About this book


This encyclopedic, self-contained, detailed exposition spans all the steps of one-period allocation from the basics to the most advanced and recent developments.

A variety of multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, etc., in addition to very general multivariate Bayesian techniques.

Evaluation methods such as stochastic dominance, expected utility, value at risk and coherent measures are thoroughly analyzed in a unified setting and applied in a variety of contexts, including total return and benchmark allocation, prospect theory, etc.

Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust optimization techniques.

This work is both a reference for practitioners and a textbook for students. The only prerequisites are linear algebra and multivariate calculus. All the statistical tools, such as copulas, location-dispersion ellipsoids and matrix-variate distribution theory, are introduced from the basics. The same holds for the mathematical machinery, such as computational results from cone programming and heuristic arguments from functional analysis.

Comprehension is supported by a large number of practical examples, real trading and asset management case studies, figures, geometrical arguments and MATLAB® applications, which can be freely downloaded from


Asset Allocation Asset Management MATLAB Matrix Multivariate statistics Portfolio Portfolio Optimization Random variable Resampling linear algebra optimization

Authors and affiliations

  • Attilio Meucci
    • 1
  1. 1.Lehman Brothers, Inc.New YorkUSA

Bibliographic information

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