Modern Portfolio Management
Modern Portfolio Management
Paolo Sironi
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Traditional portfolio management approaches have proven to be ineffective. Probabilistic scenario optimisation is emerging as an appealing alternative framework to facilitate the realignment of investors’ risk/return preferences with the risk/return characteristics of actual investments.
Chapters include:
• A Modern Risk Management Perspective and The Probability Measure
• Dealing with Real Securities and Reinvestment Strategies: Fixed Income, Structured Products and Inflation
• Elicitation and Modeling of Risk/Return Time Profiles
• Review of Markowitz and Black-Litterman approaches
• Probabilistic Scenario Optimisation and Goal-based Investing
• Optimisation Case Studies
This book is a must-read for portfolio managers as well as financial advisors – in particular, all investment managers engaging in (or thinking of engaging in) long-term and goal-based asset allocations.
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Table of contents
Introduction
1. Beyond Modern Portfolio TheoryPart 1 - Risk Management Framework2. A Modern Risk Management Perspective
3. The Probability Measure 4. Real Securities and Re-Investment Strategies: Fixed Income, Structured Products and Inflation-linked 5. Elicitation and Modeling of Risk/Return Time ProfilesPart 2 - Portfolio Optimisation Methods6. à la Markowitz’s: a Tale of Simple Worlds 7. Black-Litterman’s Approach: a Tale of Subjective Views 8. Probabilistic Scenario Optimisation (PSO)Part 3 - Portfolio Optimisation Case Studies9. Case studies: Mean-Variance and Black-Litterman 10. Case studies: Probabilistic Scenario Optimisation