Risk and asset allocation.

MaRDI QIDQ5902504zbMATH OpenFDO

Authors Attilio Meucci

Publication date 11 January 2010

Published in Springer Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic models in economics (91B70) Statistical methods; economic indices and measures (91B82) Actuarial science and mathematical finance (91Gxx)

Cited in

(18)

• Risk aversion and allocation to long-term bonds.
• Approximating exact expected utility via portfolio efficient frontiers
• The dynamic Black-Litterman approach to asset allocation
• Computing near-optimal value-at-risk portfolios using integer programming techniques
• Copula-based Black-Litterman portfolio optimization
• Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy
• Sparse precision matrices for minimum variance portfolios
• Linear vs. quadratic portfolio selection models with hard real-world constraints
• Monte Carlo approximate tensor moment simulations.
• scientific article; zbMATH DE number 2065345 (Why is no real title available?)
• Balanced Risk Set Matching
• Asset allocation and derivatives
• Detailed study of a moving average trading rule
• Optimal portfolios on mean-diversification efficient frontiers
• Copula-opinion pooling with complex opinions
• scientific article; zbMATH DE number 5209874 (Why is no real title available?)
• Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem
• Distributionally robust optimal allocation of financial assets under the uncertainty and irrationality

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