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

Textbook: Quest for Invariance in Financial Time Series

Risk and Asset Allocation, Springer 2005

In this section we show how to process the information available in the market to determine the market invariants. The market invariants are random variables that are iid across time. Examples includes swap rates, log of stock return, log of change of implied volatility.


Hundreds of financial institutions worldwide have trusted ARPM with the education and the growth of their talent pool.