Long-Term Portfolio Simulation

Long-Term Portfolio Simulation

Portfolio Compression

Portfolio Compression

Portfolio Construction and Risk Budgeting (5th Edition)


Building on the solid foundation of the previous bestselling editions, this significantly extended fifth edition of Portfolio Construction and Risk Budgeting updates content and incorporates a more practical approach than previous editions.

Bernd Scherer provides a critical review of a range of portfolio management techniques highlighting strengths, weaknesses and how to implement quantitatively-driven portfolio construction.

Availability: In stock

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 Information
ISBN 9781782721000
Navision code PCR5
Publication date 27 Apr 2015
Size 155mm x 235mm
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Bernd Scherer

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.

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