Book description
Completely updated to take in the lessons from the largest financial crisis in a generation, this new edition of Portfolio Construction and Risk Budgeting provides the reader with a clear overview of quantitative methods and a comprehensive and up-to-date coverage of alternative portfolio construction techniques including:
* an understanding of 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 supported by extensive examples, tables and charts to enable practitioners to apply the subject matter to their day-to-day work.
In the fourth edition of this popular and influential book chapters have been considerably extended to cover the rapid expansion of the literature since the financial crises and many chapters now also feature exercise sections to challenge your understanding of the methodologies covered. There is 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.
Portfolio Construction and Risk Budgeting 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.
Book details
- ISBN
- Book 9781906348359 / EBook 9781908823205
- Publish date
- 18 Oct 2010
- Format
- Paperback
- Size
- 155mm x 235mm
Author biography
Bernd Scherer
Bernd Scherer teaches finance at EDHEC Business School and is a member of EDHEC Risk. He is also on the management board of the London Quant Group. Before joining EDHEC he was managing director and global head of Quantitative Asset Allocation at Morgan Stanley Investment Management, where he was responsible for the creation of active investment strategies within commodities, foreign exchange, credit and volatility products. During his 16-year career in asset management he has held various senior positions at Morgan Stanley, Deutsche Bank, Oppenheim Investment Management and J P Morgan Investment Management. Bernd’s current research interests focus on signal construction, portfolio optimisation and asset liability modelling. He has written six books and more than 50 publications in leading academic and practitioner journals, such as the Journal of Banking and Finance, Journal of Financial Markets, Journal of Economics and Statistics, Journal of Portfolio Management, Financial Analysts Journal, Journal of Investment Management, Risk, Financial Markets and Portfolio Management, Journal of Asset Management, etc. Bernd 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.
Table of contents
About the Author
Introduction
1 - A Primer on Portfolio Theory
2 - Application in Mean–Variance Investing
3 - Incorporating Deviations from Normality: Lower Partial Moments
4 - Portfolio Resampling and Estimation Error
5 - Robust Portfolio Optimisation and Estimation Error
6 - Bayesian Analysis and Portfolio Choice
7 - Testing Portfolio Construction Methodologies Out-of-Sample
8 - Portfolio Construction with Transaction Costs
9 - Portfolio Optimisation with Options: From the Static Replication of CPPI Strategies to a More General Framework
10 - Scenario Optimisation
11 - Core–Satellite Investing: Budgeting Active Manager Risk
12 - Benchmark-Relative Optimisation
13 - Removing Long-Only Constraints: 120/20 Investing
14 - Performance-Based Fees, Incentives and Dynamic Tracking Error Choice
15 - Long-Term Portfolio Choice
16 - Risk Management for Asset-Management Companies
Customer Reviews
Very helpful read for a practitioner
