This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments. 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, expec...
This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments. 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.
原文摘录
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To handle situations such as the above example we have two options: either we build a more sophisticated mathematical framework that does not rely on the assumptions of smoothness and positivity for probability density function, or we make the above hypotheses legitimate by regularizing the probability
density function as in Appendix B.4. We choose throughout the book the second approach, for practical as well as "philosophical" reasons, see (B.54)
and comments thereafter. (查看原文)
springer finance(共35册)，
这套丛书还有
《Mathematical Models of Financial Derivatives》《Applications of Fourier Transform to Smile Modeling》《Mathematical Finance - Bachelier Congress 2000》《Stochastic Calculus for Finance II》《》
等
。
3 有用 Renco 2017-09-27 04:05:11
从未见过这么有诚意的数学书。
2 有用 阿道克 2013-03-03 12:30:28
用matlab的
0 有用 勝負師董寶珠 2011-08-21 01:08:50
偏统计的感觉，很少讲到随机过程
0 有用 阿奇愣猫 2015-09-16 02:33:29
学数学写的书就是这样。
1 有用 坎顾 2021-09-16 05:23:47
如果需要找鲁棒优化的材料，那这本书前400页都是在铺垫表达式。作者的看家绝活Black Litterman方面的东西讲的太少了。这本书好就好在表达式系统非常完备，统计接上了泛函，优化接上了统计推断，虽然看起来上标下标希腊字母和Script满天飞，但讲解很细致，看得出来数学分析的功能。 鲁棒优化方面这本书是在太老了
1 有用 坎顾 2021-09-16 05:23:47
如果需要找鲁棒优化的材料，那这本书前400页都是在铺垫表达式。作者的看家绝活Black Litterman方面的东西讲的太少了。这本书好就好在表达式系统非常完备，统计接上了泛函，优化接上了统计推断，虽然看起来上标下标希腊字母和Script满天飞，但讲解很细致，看得出来数学分析的功能。 鲁棒优化方面这本书是在太老了
1 有用 Kratos 2020-08-27 07:24:19
内容过于偏理论了，实用性不是很强
3 有用 Renco 2017-09-27 04:05:11
从未见过这么有诚意的数学书。
2 有用 郭小天 2016-07-08 01:04:51
我对这本书简直充满感激之情。作者写的太好了，完全让我使用统计工具的时候多了一个维度的视角。它启发了我太多。我从三年前开始看，现在还常要翻阅。
0 有用 阿奇愣猫 2015-09-16 02:33:29
学数学写的书就是这样。