Risk and asset allocation

By Attilio Meucci. 2005

438 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/eacb190aa9077c237ed1005677d52f27fde008a9

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In Statistics and Probability

Citations in the corpus

Portfolio performance evaluation with loss aversion (2010, neutral): “The first axiomatic constructions of rational risk, reward, and performance measures were introduced by De Giorgi (2005) and Meucci (2005).”
Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies ☆ (2011, background): “…investment strategy can perform better than those sophisticated rules recommended from investment 1See Grinold and Kahn (1999), Litterman (2003), and Meucci (2005) for practical applications of the mean-variance framework; and see Brandt (2009) for an excellent survey of the academic literature.”
The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation (2020, neutral): “In practice, factor models are used, among others, to evaluate the performance of portfolio managers, to assess return anomalies, to predict returns, and to construct portfolios; for example, see Meucci (2005) and Chincarini and Kim (2006).”
The Black-Litterman Model in Detail (2014, methodology): “[Meucci, 2005] describes the transformation from (27) to (35), but does not show the full derivation.”
ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (2009, background): “We note that Michaud (see Michaud 1998 and Meucci 2005) provides a bootstrap estimation approach to estimate the allocation and thereafter estimate the return.”
Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly (2019, methodology): “In practice, factor models are used, among others, to evaluate the performance of portfolio managers, to assess return anomalies, to predict returns, and to construct portfolios; for example, see Meucci (2005) and Chincarini and Kim (2006).”
High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: Risk underestimation (2010, background): “By contrast, standard but thorough discussions of these problems (Meucci, 2005) give only a cursory treatment of dimensionality issues (e.”
Pricing discretely monitored Asian options under Levy processes (2008, background): “…are analytically tractable; Lévy processes are general enough to include a wealth of patterns and thus they account for smile and skew e¤ects in option prices; the i.i.d. structure of the Lévy processes simpli es the estimation of the respective parameters under the real measure, see Meucci (2005).”
Technical analysis: An asset allocation perspective on the use of moving averages (2009, methodology): “The model is a special case of the general model of Merton (1992). In discrete-time, it is the well-known predictive regression model (e.g., Stambaugh (1999)).”
Optimal Portfolio Choice with Parameter Uncertainty (2007, methodology): “Since Stein’s (1956) seminal work, it is known that when N > 2, the sample mean μ̂ is not the best estimator of the population mean μ in terms of the quadratic loss function.”
Stable distributions in the Black–Litterman approach to asset allocation (2007, background): “…< p < 2, ð4Þ ySee the papers by Fusai and Meucci (2003), Satchell and Scowcroft (2000), He and Litterman (1999) and the books by Litterman (2003) and Meucci (2005). zSee Eberlein and Keller (1995), Panorska et al. (1995), Mittnik and Paolella (2000), Rachev and Mittnik (2000) and the references…”
Bayesian Portfolio Analysis (2010, background): “(See, for instance, Grinold & Kahn (1999), Litterman (2003), and Meucci (2005), who discuss various applications of the mean-variance framework.)”