Attilio Meucci | Academic Influence

Attilio Meucci's AcademicInfluence.com Rankings

Attilio Meucci

Mathematics

#4516

World Rank

#6400

Historical Rank

Control Theory

#76

World Rank

#81

Historical Rank

Measure Theory

#4607

World Rank

#5393

Historical Rank

mathematics Degrees

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Mathematics

Attilio Meucci's Degrees

PhD Mathematics University of Florence

Why Is Attilio Meucci Influential?

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According to Wikipedia, Attilio Meucci is an Italian statistician and financial engineer, who specializes in quantitative risk management and quantitative portfolio management. Education Attilio Meucci earned a BA in Physics from the University of Milan, an MA in Economics from Bocconi University, and a PhD in Mathematics from the University of Milan.

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Attilio Meucci's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Risk and asset allocation (2005) (456)
Pricing discretely monitored Asian options under Levy processes (2008) (130)
Managing Diversification (2010) (113)
The Black-Litterman Approach: Original Model and Extensions (2008) (101)
Fully Flexible Views: Theory and Practice (2008) (92)
Beyond Black-Litterman: Views on Non-Normal Markets (2005) (65)
Beyond Black-Litterman in Practice: A Five-Step Recipe to Input Views on Non-Normal Markets (2006) (60)
Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck (2009) (52)
Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors (2015) (46)
Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions (2013) (46)
Enhancing the Black–Litterman and related approaches: Views and stress-test on risk factors (2009) (43)
A Short, Comprehensive, Practical Guide to Copulas (2011) (29)
A New Breed of Copulas for Risk and Portfolio Management (2011) (28)
Risk Contributions from Generic User-Defined Factors (2006) (27)
Quant Nugget 2: Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management (2010) (26)
Black–Litterman Approach (2010) (22)
Quant Nugget 4: Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics (2010) (16)
Historical Scenarios with Fully Flexible Probabilities (2010) (15)
Simulations with Exact Means and Covariances (2009) (12)
'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance (2011) (12)
Dynamic Portfolio Management with Views at Multiple Horizons (2015) (11)
‘The Prayer’ Ten-Step Checklist for Advanced Risk and Portfolio Management (2011) (9)
Managing Diversification 1 (2010) (9)
Estimation and Stress-Testing via Time- and Market-Conditional Flexible Probabilities (2013) (8)
Effective Number of Scenarios in Fully Flexible Probabilities (2012) (8)
Portfolio Construction and Systematic Trading with Factor Entropy Pooling (2014) (8)
Factors on Demand: Building a Platform for Portfolio Managers, Risk Managers and Traders (2010) (8)
Compatible Lie algebroids and the periodic Toda lattice (2000) (8)
Review of Dynamic Allocation Strategies: Utility Maximization, Option Replication, Insurance, Drawdown Control, Convex/Concave Management (2010) (7)
Toda Equations, bi-Hamiltonian Systems, and Compatible Lie Algebroids (2001) (7)
Review of Discrete and Continuous Processes in Finance: Theory and Applications (2009) (7)
Neither “Normal” nor “Lognormal”: Modeling Interest Rates across All Regimes (2016) (6)
Stress-Testing with Fully Flexible Causal Inputs (2012) (5)
Return Calculations for Leveraged Securities and Portfolios (2010) (5)
Pitfalls in linear models for style analysis (2004) (5)
Fully Flexible Extreme Views (2010) (4)
A Fully Integrated Liquidity and Market Risk Model (2012) (3)
Parametric Stress-Testing in Non-Normal Markets via Copula-Marginal Entropy Pooling (2015) (3)
Linear Factor Models: Theory, Applications and Pitfalls (2014) (2)
Fully Flexible Views in Multivariate Normal Markets (2013) (2)
Exercises in Advanced Risk and Portfolio Management (ARPM) with Solutions and Code (2010) (2)
Modeling the market (2005) (1)
Estimation of Structured T-Copulas (2008) (1)
Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids (2011) (1)
Mixing Probabilities, Priors and Kernels via Entropy Pooling (2011) (1)
Common Misconceptions about "Beta" Hedging, Estimation and Horizon Effects 1 (2010) (1)
Robust Bayesian Allocation (2011) (1)
Smart Betas: Theory and Construction (2015) (0)
Teaching ⇒ MATLAB . 1 The multivariate Ornstein-Uhlenbeck process The multivariate (2010) (0)
Most Explanatory Independent Component Analysis (2020) (0)
Estimating the distribution of the market invariants (2005) (0)
Quant Nugget 5: Return Calculations for Leveraged Securities and Portfolios (2010) (0)
Risk Parity and Beyond—From Asset Allocation to Risk Allocation Decisions (2022) (0)
Quant Nugget 3: Common Misconceptions About 'Beta' - Hedging, Estimation and Horizon Effects (2010) (0)
Minimum Relative Entropy Inference for Normal and Monte Carlo Distributions (2020) (0)
Simulations with exact means and covariances To perform (0)
Multi-Period Optimal Asset Allocation for a Multi-Currency Hedged Portfolio (2002) (0)
Quantitative Portfolio Construction and Systematic Trading Strategies using Factor Entropy Pooling January 2014 (2014) (0)
Enhancing the Black-Litterman and Related Approaches: Views and Stress-Test on Risk Factors (2008) (0)
Managing Diversi fi cation 1 (2010) (0)
CUTTING-EDGE ANALYTICS FOR COMMERCIAL CREDIT RISK MANAGEMENT THE POWER OF STATISTICAL LEARNING CUTTING-EDGE ANALYTICS FOR COMMERCIAL CREDIT RISK MANAGEMENT (2018) (0)

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