| Books & monographs
-'Risk and Asset Allocation', Springer Quantitative Finance (2005)
-'Mr. Risk: Getting to Know Him Better', EGEA - Bocconi University Press (2002)
-'Introducing Mr.Risk', EGEA - Bocconi University Press (2001)
Articles
-Bi-monthly column 'The Quant Classroom by Attilio Meucci', GARP Risk Professional
- 'The Prayer: the Ten Steps of Advanced Risk and Portfolio Management' (Apr/Jun 2011, 54-60/45-51)
- 'P versus Q: Differences and Commonalities between the Two Areas of Quantitative Finance' (Feb 2011, 41-44)
- 'Historical Scenarios with Fully Flexible Probabilities' (Dec 2010, 47-51)
- 'Return Calculations for Leveraged Securities and Portfolios' (Oct 2010, 40-43)
- 'Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics' (Aug 2010, 59-63)
- 'Common Misconceptions on the “Beta”: Hedging, Estimation, and Horizon Effects' (Jun 2010, 42-46)
- 'Linear vs. Compounded Returns: Common pitfalls in Portfolio Management' (Apr 2010, 49-50)
- 'How to Visualize Risk: Square-Root Rule, Covariances and Ellipsoids' (Feb 2010, 52-53)
- 'New Breed of Copulas for Risk and Portfolio Management', Risk (to appear, 2011)
- 'Fully Flexible Extreme Views', with D. Ardia and S. Keel, Journal of Risk (to appear, 2011)
- 'Factors on Demand', Risk, 23, 7, 84-89 (2010)
- 'The Black-Litterman Approach: Original Model and Extensions', in Encyclopedia of Quantitative Finance, Wiley (2010)
- 'Simulations with Exact Means and Covariances', Risk, 22, 7, 89-91 (2009)
- 'Enhancing the Black-Litterman and Related Approaches: Views and Stress-Test on Risk Factors', Journal of Asset Management, 10, 2, 89-96 (2009)
- 'Managing Diversification', Risk, 22, 5, 74-79 (2009)
- 'Fully Flexible Views: Theory and Practice', Risk, 21, 10, 97-102 (2008)
- 'Pricing Discretely Monitored Asian Options under Levy Processes', with G. Fusai, Journal of Banking and Finance, 32, 2076-2088 (2008)
- 'Risk Contributions from Generic User-Defined Factors', Risk, 20, 6, 84-88 (2007)
- 'Beyond Black-Litterman in Practice: a Five-Step Recipe to Input Views on Non-Normal Markets', Risk, 19, 9, 114-119 (2006)
- 'Beyond Black-Litterman: Views on Non-Normal Markets', Risk, 19, 2, 87-92 (2006)
- 'Broadening Horizons', Risk, 17, 12, 98-101 (2004)
- 'Pitfalls in Linear Models for Style Analysis', with F. Corielli, Statistical Methods and Applications, 13, 1, 105-129 (2004)
- 'Assessing Views', with G. Fusai, Risk, 16, 3, S18-S21 (2003)
- 'Multi-period Optimal Asset Allocation for a Multi-Currency Hedged Portfolio', with D. Mignacca, in Computational Methods in Decision-Making, Economics and Finance, Kluwer, 1-12 (2002)
- 'A Common Pitfall in Mean-Variance Asset Allocation', Wilmott (2001)
Work in Progress
See SSRN page
Mathematical Physics
- 'Toda Equations, bi-Hamiltonian Systems, and Compatible Lie Algebroids', Mathematical Physics, Analysis and Geometry, 4, 131-146 (2001)
- 'Compatible Lie Algebroids and Periodic Toda Lattice', J. of Geometry and Physics, 35, 273-287 (2000)
- 'The bi-Hamiltonian Route to the Discrete Sato Grassmannian', Ph.D. dissertation, Univ. Milan (1998)
- 'A Generalization of Arnold Diffusion in Hamiltonian Systems', Honor Thesis, Univ. Milan (1994)
