Risk and asset allocation. (Q5919956)

The book offers a wide exposition of the main approaches to asset allocation, starting from the classical models up to the recent developments in portfolio management. The topic is treated by means of appropriate quantitative models: statistical and mathematical tools synergically contribute to provide a rigorous description of financial scenarios. The theoric basis develops the framework of a detailed theory involving asset allocation and, in the same time, addresses to practical managerial perspectives. By virtue of the sequential structure of the subjects and the simple but efficacious mathematical treatment, the monograph is useful for graduate students and quantitatively-oriented practitioners too. The book consists of four main parts. In the first one the statistics of asset allocation is treated, considering the quantitative tools apt to model market prices. In particular basic notions in univariate and multivariate statistics are presented, in order to provide the necessary techniques to model the market. In the second part the classical approach to asset allocation is described, referring to the estimate of distributions of the market invariants from empirical evidence; the topic leads to optimality criteria involving asset allocation, taking into account the opportune investment constraints. In the third part the modern approach to asset allocation is analysed, considering the investor's experience and the risk estimation, unlike the previous classical approach. The topics treated in this section allow to implement optimal allocation strategies, incorporating estimation risk. Finally, in the fourth part, two mathematical and statistical appendices provide, respectively, basic tools in linear algebra, geometry, matrix calculus, and a straightforward overview on instruments and notations of functional analysis. The book is complemented by online resources, consisting of software applications performed by \texttt{MATLAB}, that show case studies. Moreover ready-to-print material is available, namely an exercise book and technical appendices providing detailed proofs of the results contained in the book.