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...

Risk measures in finance and insurance -- Fixed-probability level in a diffusion model -- Fixed-probability level in an exceptional renewal model -- Implicit function defined by M-equation -- Fixed-probability level in general renewal model -- Case study : numerical evaluation of...