Risk and Asset Allocation (2005. Corr. 3rd Printing 2009)Paperback - 2005. Corr. 3rd Printing 2009, 22 May 2009

A comprehensive treatment of all the steps of asset allocation, including market modeling, invariants estimation, portfolia evaluation, etc. Almost all results are proved explicitly in technical appendices that can be downloaded freely from the book's web-site. Each chapter ends with a set of exercises. Many of the exercises simulate - in Matlab - the solution to practical problems and can be downloaded from the book's web-site.