本书是一部全面介绍风险与资产分配的统计教材。多变量估计的方法分析深入，包括非正态假设下的无参和极大似然估计，压缩理论、鲁棒以及一般的贝叶斯技巧。作者用独到的眼光讲述了资产分配，给出了该学科的精华。重点突出，包含了MATLAB数学工具软件，对于以数学为中心的投资行业来说该书是一本必选书。目次：资产分配统计学；经典资产分配；估计风险的计算；附录。
Preface
Audience and style
Structure of the work
A guided tour by means of a simplistic example
Acknowledgments
Part I The statistics of asset allocation
1 Univariate statistics
1.1 Building blocks
1.2 Summary statistics
1.3 Taxonomy of distributions
1.T Technical appendix
1.E Exercises
2 Multivariate statistics
2.1 Building blocks
2.2 Factorization of a distribution Preface
Audience and style
Structure of the work
A guided tour by means of a simplistic example
Acknowledgments
Part I The statistics of asset allocation
1 Univariate statistics
1.1 Building blocks
1.2 Summary statistics
1.3 Taxonomy of distributions
1.T Technical appendix
1.E Exercises
2 Multivariate statistics
2.1 Building blocks
2.2 Factorization of a distribution
2.3 Dependence
2.4 Shape summary statistics
2.5 Dependence summary statistics
2.6 Taxonomy of distributions
2.7 Special classes of distributions
2.T Technical appendix
2.E Exercises
3 Modeling the market
3.1 The quest for invariance
3.2 Projection of the invariants to the investment horizon.
3.3 From invariants to market prices
3.4 Dimension reduction
3.5 Case study: modeling the swap market
3.T Technical appendix
3.E Exercises
part II Classical asset allocation
4 Estimating the distribution of the market invariants
4.1 Estimators
4.2 Nonparametric estimators
4.3 Maximum likelihood estimators
4.4 Shrinkage estimators
4.5 Robustness
4.6 Practical tips
4.T Technical appendix
4.E Exercises
5 Evaluating allocations
5.1 Investor's objectives
5.2 Stochastic dominance
5.3 Satisfaction
5.4 Certainty-equivalent (expected utility)
5.5 Quantile (value at risk)
5.6 Coherent indices (expected shortfall)
5.T Technical appendix
5.E Exercises
6 Optimizing allocations
part III Accounting for estimation risk
7 Estimating the distribution of the market invariants
8 Evaluating allocations
9 Optimizing allocations
Part IV Appendices
A Linear algebra
B Functional Analysis
References
List of figures
Notation
Index
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