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Portfolio Construction and Risk Budgeting 3rd Edition by Bernd Scherer ISBN 1904339697 9781904339694

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Portfolio Construction and Risk Budgeting 3rd Edition Bernd Scherer Digital Instant Download

Author(s): Bernd Scherer
ISBN(s): 9781904339694, 1904339697
File Details: PDF, 23.60 MB
Year: 2002
Language: english
SKU: EB-10667824 Category: Tag:

Portfolio Construction and Risk Budgeting 3rd Edition by Bernd Scherer – Ebook PDF Instant Download/Delivery: 1904339697, 9781904339694

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Product details:

ISBN 10: 1904339697

ISBN 13: 9781904339694 

Author:  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.

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.

Table of contents:

  1. Traditional portfolio construction: Select issues

  2. Incorporating deviations from normality: Lower partial moments

  3. Portfolio resampling and estimation error

  4. Robust portfolio optimisation and estimation error

  5. Bayesian analysis and portfolio choice

  6. Testing portfolio construction methodologies out-of-sample

  7. Portfolio construction with transaction costs

  8. Portfolio optimisation with options: from the static replication of CPPI strategies to a more general framework

  9. Scenario optimisation

  10. Core-satellite investing: Budgeting active manager risk

  11. Benchmark-relative optimisation

  12. Removing long only constraints: 120/20 investing

  13. Index

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Tags: Bernd Scherer, Portfolio, Construction, Risk, Budgeting