"Risk and Asset Allocation" - Springer, by Attilio Meucci

Textbook: Projection of Invariants to Investment Horizon

Risk and Asset Allocation, Springer 2005

In this section, we project the distribution of the invariants, which we assume known from the “Estimation” step, estimated to an estimation interval, say one week, to the desired investment horizon, say one year. We achieved that by obtaining the density distribution functions or the characteristic functions of the invariants at the investment horizon. Feedback? Questions? send us an email at


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