Books
- Risk and Asset Allocation, by Attilio Meucci. This will be the primary text for the class.
- Financial Modeling of the Equity Market, by Frank Fabozzi, Sergio Focardi, and Petter Kolm. A good discussion of investment practice.
- Investment Science, David Leuenberger. Section 2 is a long elementary discussion of mean/variance analysis.
Comments by Jonathan Goodman
- Section 1, Mean and Variance analysis. Last update: Jan. 21
- Section 2, Parametric statistics. Last update: Feb. 4
- Section 3, SVD, PCA
Lecture notes and assignments by Attilio Meucci
Other web resources
- Class lecture notes on investment theory by William Sharpe (elementary discussion).
- Class lecture notes on classical investment theory by William Goetzmann (elementary discussion).
Page last updated: January 21, 2009