Hedging Wisely

Hedging Wisely

Risk Model Validation 3rd edition

Risk Model Validation 3rd edition

Pre-order: Portfolio Construction and Management - Innovations and Challenges in the Digital Age - coming December 2020

Portfolio Construction and Management, edited by Brice Benaben and Julien Jarmoszko, explores the new alternative and innovative methodologies and trends in portfolio construction and management.  Featuring an interview with Suni Harford, President of UBS Asset Management as well as a host of leading professional portfolio experts, the book covers how to implement methodologies within regulatory and liability constraints. Importantly, it also analyses challenges coming from the market and regulatory environment, the digitalisation of the financial system and the new competition from fintechs.

£145.00
Availability: In stock
ISBN
978-1-78272-426-1
 

The digitalisation of the financial market and change in regulations are transforming the portfolio management industry.

Portfolio practitioners have to adapt their portfolio construction and asset allocation techniques to changes in the market structure, their regulatory or balance sheet constraints and the new rise in information and transparency with the development of big data and machine learning. This book will guide readers in dealing with these difficult challenges.

Portfolio Construction and Management, edited by Brice Benaben and Julien Jarmoszko, explores the new alternative and innovative methodologies and trends in portfolio construction and management.  Featuring an interview with Suni Harford, President of UBS Asset Management as well as a host of leading professional portfolio experts, the book covers how to implement methodologies within regulatory and liability constraints. Importantly, it also analyses challenges coming from the market and regulatory environment, the digitalisation of the financial system and the new competition from fintechs.  Specific chapters focus on:

  • Factor investing for practitioners
  • Integrating climate risk considerations within portfolios
  • Optimisation of trading portfolios under regulatory capital constraints
  • Digitalisation of the portfolio management process

This essential text bridges the gap between efficient frontier theory and modern theories, the concepts of smart beta and risk parity and the practicalities of emerging technologies like big data and AI. It is useful for all professional investors, risk and asset/liability managers, regulators and academics.

More Information
ISBN 978-1-78272-426-1
Navision code MBRI
Publication date 9 November 2020
Size 155mm x 235 mm
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Brice Benaben and Julien Jarmoszko

 

Brice Benaben is head of Rates MR quantitative research in JP Morgan. His interest in the portfolio quantitative method led him to co-edit and co-author with a team of leading experts, the coming book: “Portfolio Construction: Innovation and Challenges in the Digital Age” (RiskBooks, December 2020).  

Prior to this Brice was a Managing Partner in New Sky Capital and held senior positions in inflation & exotics trading as a Managing Director in Deutsche Bank and Citi and an Executive Director in ABN AMRO. He started his career as a portfolio manager in the International Finance Corporation (World Bank Group) in Washington DC. 

Brice has edited and co-authored three other books: “Inflation Sensitive Assets" (2012), "Inflation Risks and Products" (2008) and "Inflation-Linked Products" (2005). He is a graduate of The University of Oxford, where he studied applied mathematics. 

 

Julien Jarmoszko is an asset management consultant helping clients improve portfolio management processes and embrace digitalisation.  He started his career as a fund manager for Société Générale Asset Management and Credit Suisse then moving to the front office, helping ABG Sundal Collier and Fisher Investments Europe expand on the French market. He subsequently led the EMEA product management unit for S&P Global Market Intelligence before embracing leading technology with Fintech Move Digital AG and as advisor for a Fintech accelerator. Julien is a graduate from Edhec Business School in France and a CFA charter holder. 

Foreword - Preparing for change: Notes from an asset management leader - Suni Hartford
Preface - Ulrik Schytz
Introduction - Brice Benaben, Julien Jarmoszko

Part 1 – Modern Portfolio Management

1 The evolution of portfolio theory- Sebastien Page, Yoram Lustig
2 Factor investing for practitioners- Daniel Ung
3 Introduction to alternative risk premium investing - Ashish Tiwari
4 Fixed – income factor investing - Philippe Vannerem, Jeroen van Zundert

Part 2 – The Practitioners Perspective

5 Enhanced risk parity and factor investing: ATP’s surplus investment strategy based on risk allocation to investment factors - Mads Gosvig, Morten Tolver Kronborg
6 Integrating climate risk considerations within portfolios: An investor’s viewpoint - Nasreen Kasenally, Michael Baldinger
7 Bridging theory and practice: Setting investment objectives - Sebastien Page, Yoram Lustig
8 Bridging theory and practice: Developing an investment strategy and implementing a solution - Sebastien Page, Yoram Lustig
9 Optimisation of Trading Portfolios Under Regulatory Capital Constraints - Brice Benaben, Andrew Green
10 The Wealth Manager Perspective - Roland Eberhard

Part 3 – The Main Challenges

11 The asset management challenges - Markus Aakko
12 Ignorance is bliss: Applying risk management techniques from alternatives to long only investing - Russell Kargaonkar
13 Digitalisation of the Portfolio Management Process - part 1 - Julien Jarmoszko
14 Digitalisation of the Portfolio Management Process - part 2 - Julien Jarmoszko