作者:Meucci, Attilio出品人:页数:558译者:出版时间:价格:$ 56.44装帧:isbn号码:9783642009648丛书系列:图书标签: 金融 统计 Risk and Asset Allocation 2024 pdf epub mobi 电子书 图书描述 This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most ...
这本Attilio Meucci的《Risk and Asset Allocation》相较本系列上一本会更偏理论一些,这是因为作者工作性质不同。Attilio Meucci毕竟是职业风控出身。不过相同的一点是,两者都是各自领域的大牛,也是真诚地想向世界分享他们的知识。 发布于 2020-09-12 10:01 ...
Meucci, "Risk parity and beyond- from asset allocation to risk allocation decisions," SSRN 2355778, 2013.Deguest, R., Martellini, L. & Meucci, A. (2013). Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions Available at SSRN: https://ssrn.com/abstract=2355778...
Risk-based Asset AllocationRisk ParityDiversificationEntropyStriving for maximum diversification we follow Meucci (2009) in measuring and managing a multi-asset class portfolio. Under this paradigm the maximum diversification portfolio is equivalent to a risk parity strategy with respect to the uncorrelated...
Meucci (2009)'s work on diversification across principal component factors provided a clue to re- solving this unfortunate problem by focusing on underlying risk factors. In this paper, we build on this idea and combine it with the risk-budgeting approach of Bruder and Roncalli ∗We thank ...
(2010); Qian (2006) and Roncalli and Weisang (2016) the Equal Risk Contribution is proposed as the strategy that balances the risk exposure among the assets; in Meucci (2009) the author proposes to use principal component analysis to extract uncorrelated risk factors and diversify the portfolio...
Deguest, RomainMartellini, LionelMeucci, AttilioJournal of Portfolio Management
Meucci, A. (2009) Risk and Asset Allocation, Berlin and Heidelberg, Germany: Springer. Google Scholar Rockafellar, T.R. and Uryasev, S. (2002) Conditional value-at-risk for general loss distribution. Journal of Banking and Finance 26 (7): 1443–1471. Article Google Scholar Scherer, B...
Needless to say, both expected and unexpected fluctuations in temperature may lead to losses. Hence, the interest in hedging instruments that can offset these losses is high. Thus, the aim of this paper will be placed upon examining weather derivatives as a capable risk management tool and upon...