Portfolio Construction And Risk Budgeting - 5Th Edition
Portfolio Construction And Risk Budgeting - 5Th Edition

Portfolio Construction And Risk Budgeting - 5Th Edition

  • Publish Date: 2015-04-27
  • Binding: Paperback
  • Author: Bernd Scherer
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Risk Books
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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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