Portfolio Construction and Risk Budgeting (5th Edition)
Building on the solid foundation of the previous bestselling editions, this significantly extended fifth edition of Portfolio Construction and Risk Budgeting updates content and incorporates a more practical approach than previous editions.
Bernd Scherer provides a critical review of a range of portfolio management techniques highlighting strengths, weaknesses and how to implement quantitatively-driven portfolio construction.
Completely updated and extended to cover the rapid expansion of the literature since the financial crises, this new edition of Portfolio Construction and Risk Budgeting provides the reader with a clear overview of the subject. The author presents quantitative methods and comprehensive and up-to-date coverage of alternative portfolio construction techniques, ranging from traditional methods based on mean– variance and lower-partial moments approaches, through Bayesian techniques, to more recent developments such as portfolio re-sampling and stochastic programming solutions using scenario optimisation.
• Application in Mean–Variance Investing
• Incorporating Deviations from Normality
• Portfolio Resampling and Estimation Error
• Robust Portfolio Optimisation and Estimation Error
• Bayesian Analysis and Portfolio Choice
This new edition is highly recommended for practitioners including portfolio managers, consultants, strategists, marketers and quantitative analysts.
|Publication date||27 Apr 2015|
|Size||155mm x 235mm|
1. A Primer on Portfolio Theory
2. Application in Mean–Variance Investing
3. Diversification - NEW CHAPTER
4. Frictional diversification costs - NEW CHAPTER
5. Risk Parity - NEW CHAPTER
6. Incorporating Deviations from Normality: Lower Partial Moments
7. Portfolio Resampling and Estimation Error
8. Robust Portfolio Optimisation and Estimation Error
9. Bayesian Analysis and Portfolio Choice
10. Testing Portfolio Construction Methodologies Out-of-Sample
11. Portfolio Construction with Transaction Costs
12. Portfolio Optimisation with Options: From the Static Replication of CPPI Strategies to a More General Framework
13. Scenario Optimisation
14. Core–Satellite Investing: Budgeting Active Manager Risk
15. Benchmark-Relative Optimisation
16. Removing Long-Only Constraints: 120/20 Investing
17. Performance-Based Fees, Incentives and Dynamic Tracking Error Choice
18. Long-Term Portfolio Choice
19. Risk Management for Asset-Management Companies
20. Valuation of Asset Management Firms
21. Tail Risk Hedging