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Book: Risk and Asset Allocation

Book Risk-Asset-Allocation-Springer-Finance

Chapters

Ch 1/2 Uni- and Multi-variate Statistics

Ch 3 Quest for Invariance in Financial Time Series

Ch 3 Projection of Invariants to Investment Horizon

Ch 3 Pricing of Individual Securities

Ch 3 Linear Factor Models

Ch 3 Swaps modeling using Principal Component Analysis

Ch 4 Multivariate Estimation (Non-Parametric, MLE, Shrinkage, Robust, …)

Ch 5 Risk Evaluation (stochastic dominance, expected utility, VaR, CVaR, spectral measures…)

Ch 6 Portfolio Optimization (Mean-Variance, Cone Programming, Benchmark Allocation…)

Ch 7 Bayesian Estimation

Ch 8 Estimation Risk Evaluation

Ch 9 Estimation risk and allocation optimization (Bayes, Black-Litterman, robust…)

App A Linear Algebra

App B Functional Analysis

Technical derivations

Tedious proofs and technical results, challenges, pitfalls and step-by-step solutions, see here.

Applications

Python code for advanced risk and portfolio management, see here.

 
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