Portfolio Construction and Risk Budgeting (5th Edition)
Portfolio Construction and Risk Budgeting (5th Edition)
Bernd Scherer
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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.
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Table of contents
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