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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