Risk and Asset Allocation, by Attilio Meucci, was published by Springer in 2005. The book has been favorably reviewed by -- among others -- Wilmott, Carr, Littermann, and Duffy. I find it difficult to agree with these learned gentlemen and wonder whether they've tried reading the book or whether they just skimmed a few pages. My honest opinion is that this book is worthless either as text or as monograph.
There are mathematics texts and monographs that are difficult -- just about anything by Serre is difficult, for example, partly because his style is extremely compact and partly because he's dealing with inherently abstruse concepts. But Meucci's style is obscure and obfuscating for no good reason. What he's trying to convey could be done far better with easier terminology and clear worked examples. Math books -- and treatments trying to masquerade as such -- should move from the simple to the complex, and each time an abstract idea is presented, try to give both an intuitive explanation and at least one fully worked example. Meucci hasn't the foggiest idea of how to do this. For just one example in mathematics, look at Rotman's Modern Abstract Algebra for pedagogic clarity in exposition. Alternatively, look at Shreve's Stochastic Calculus in Finance.
There are far better books on asset allocation available. I'll discuss these in due course.
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The exposition is at best, pigeon mathematics. At almost every turn, there appear mis-statements, and in many places, total gibberish. For example, from page 34 “A joint measurement is a point in the plane R2 and with each point on the plane is associated a different probability”.
I don’t question the validity of the author’s arguments in his own mind; but the exposition is not up to publication. I’m not surprised that Springer published it -- they publish anything.
It’s upsetting to see this sort of work from a math academician. Has school really gotten this sloppy?
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