Portfolio Construction and Risk Budgeting
5th Edition
Published on 31. March 2015
Book
Paperback/Softback
978-1-78272-100-0 (ISBN)
Description
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. Chapters feature: 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.
More details
Edition
5th Revised edition
Language
English
Place of publication
London
United Kingdom
Edition type
Revised edition
Dimensions
Height: 235 mm
Width: 155 mm
ISBN-13
978-1-78272-100-0 (9781782721000)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Person
Bernd Scherer is Chief Scientific Officer for First Private Asset Management. During his 21 years career he worked in senior positions for various hedge funds, asset management companies and banks in Frankfurt, London, New York and Vienna as well as Professor of Finance for EDHEC business school. His academic work has been published in Journals like the Journal of Banking and Finance, Journal of Financial Markets, Journal of Economics and Statistics, Quantitative Finance, Journal of Derivatives, Journal of Portfolio Management, Financial Analysts Journal, Journal of Investment Management, Risk, Financial Markets and Portfolio Management, Journal of Asset Management etc. Bernd is author/editor of 8 books on quantitative asset management. He holds MBA and MSc degrees from the University of Augsburg and the University of London, as well as a PhD in finance from the University of Giessen.
Content
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