ENGLISH

Portfolio Construction and Risk Budgeting

By Bernd Scherer

Book information

Publisher
Risk Books
Year
2002
ISBN
1899332448, 9781899332441
Google Books ID
1WsWAQAAMAAJ
Open Library ID
OL9329572M
Language
english
Format
PDF
Filesize
2 MB (2217408 bytes)
Pages
247\247
Time added
2011-08-31 04:54:40

Description

This work discusses the area of risk budgeting and portfolio construction from an asset management perspective with a critical review of existing portfolio techniques. It provides the key concepts and methods to implement quantitatively-driven portfolio construction. Areas include satellite investing, estimation error heuristics, scenario optimisation, mean variance investing, Bayesian methods, budgeting active risk, non-normality and multiple manager allocation. The emphasis is on practical applications and problem-solving written in a highly accessible style. The title contains quantitative analysis that is supported by extensive examples, tables and charts to help practitioners adopt the subject matter in their day-to-day work.

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