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.
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作為一本實用性書籍還是蠻不錯的...本書關注度挺好的..
评分still reading, like the way he talks abt stat. stuff
评分我對這本書簡直充滿感激之情。作者寫的太好瞭，完全讓我使用統計工具的時候多瞭一個維度的視角。它啓發瞭我太多。我從三年前開始看，現在還常要翻閱。
评分我對這本書簡直充滿感激之情。作者寫的太好瞭，完全讓我使用統計工具的時候多瞭一個維度的視角。它啓發瞭我太多。我從三年前開始看，現在還常要翻閱。
评分作為一本實用性書籍還是蠻不錯的...本書關注度挺好的..
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