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...

We present “The Prayer”, a recipe of ten sequential steps for all portfolio managers, risk managers, algorithmic traders across all asset classes and all investment horizons, to model and manage the P&L distribution of their positions.For each of the ten steps of the Prayer, we introduce all...