Cover -- Half-title -- Title -- Copyright -- Contents -- Foreword -- Preface -- Bibliography -- Part One Equilibrium and Arbitrage -- 1 Equilibrium in Security Markets -- 1.1 Introduction -- 1.2 Security Markets -- 1.3 Agents -- 1.4 Consumption and Portfolio Choice -- 1.5 First-Order Conditions...

This book provides a comprehensive treatment of all the steps of asset allocation: detecting the market invariants; estimating the invariants' distribution; modeling the market at any horizon; defining optimality; accounting for estimation- and model-risk; including the practitioner's experience...