
Bernd Scherer
Building on the solid foundation of the first two bestselling editions, this significantly extended third edition updates previous content and incorporates three new chapters. Expanding on the comprehensive treatment of alternative portfolio construction techniques and discussing the area of risk budgeting from an asset management perspective, you are given a critical review of a range of portfolio techniques.
Book Size: Royal Octavo (155mm x 235mm)
Pages: 320pp
ISBN-10: 1-904339-69-7
ISBN-13: 978-1-904339-69-4
Format: Book
Bestseller
This revised third edition provides you with:
- key concepts and methods to implement quantitatively-driven portfolio construction;
- knowledge of satellite investing, estimation error heuristics, scenario optimisation, mean variance investing, Bayesian methods, budgeting active risk, non-normality and multiple manager allocation;
- practical applications and accessible problem-solving skills;
- quantitative analysis that is supported by extensive examples, tables and charts to help practitioners adopt the subject matter in their day-to-day work.
The new chapters bring you up-to-date information on portfolio optimisation, with differentiation of alpha and beta testing, covariance estimation, showing estimation error vs. model error and fundamental vs. statistical models.
This book is highly recommended for practitioners including portfolio managers, consultants, strategists, marketers and quantitative analysts. It would also give an edge to final year undergraduates and MBAs looking to expand their knowledge beyond the mean-variance based solutions commonly taught in business schools.
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About the Author
Introduction
1 Traditional Portfolio Construction: Selected Issues
2 Incorporating Deviations from Normality: Lower Partial Moments
3 Portfolio Resampling and Estimation Error
4 Bayesian Analysis and Portfolio Choice
5 Scenario Optimisation
6 Portfolio Construction with Transaction Costs
7 Benchmark-Relative Optimisation
8 Core-Satellite Investing: Budgeting Active Manager Risk
Index
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″This book makes an important contribution to asset management and I recommend it very strongly.″
Dr Steven E. Satchell, Editor - The Journal of Asset Management
″I could have used this book in my first job in investment management. I knew the basics of portfolio theory and lots of math, but whenever I went to the library to read the latest research, I was lost... I needed a "bridge" between basic portfolio theory and the cutting-edge of investment management research. With this book, Bernd Scherer offers such a bridge.″
Glyn Holton, Contingency Analysis
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Dr Bernd Scherer is Managing Director and Global Head of Quantitative GTAA Products at Morgan Stanley Investment Management, where he is responsible for the creation of active investment strategies within commodities, foreign exchange, credit and equity markets. Before joining Morgan Stanley he has been Head of Quantitative Research and Head of Portfolio Engineering at Deutsche Asset Management in New York. During his 14-year career in asset management he has held various positions at Morgan Stanley, Oppenheim Investment Management Schroders and JP Morgan Investment Management. Dr Scherer's current research interests focus on signal construction, asset pricing and portfolio optimisation. He has written four books and more than 40 publications in the Journal of Portfolio Management, Financial Analysts Journal, Journal of Investment Management, Risk, Financial Markets and Portfolio Management, Journal of Asset Management etc. Bernd is visiting professor at Birkbeck College and external advisor to the Swiss Finance Institute.
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