Portfolio Construction And Risk Budgeting

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Scherer, Bernd

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pvp.139,80 €

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ISBN:9781904339694
Editorial: Riskbooks
Fecha de la edición:2007
Número de la edición: 3
Encuadernación:Tapa dura
Dimensiones: 16 cm x 24 cm
Nº Pág.:300
Idiomas:Ingles

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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.

About the Author Introduction 1 Traditional Portfolio Construction: Selected Issues 2 Incorporating Deviations from Normality: Lower Partial Moments 3 Portfolio Resampling and Estimation Error 4 Bayesian Analysis and Portfolio Choice 5 Scenario Optimisation 6 Portfolio Construction with Transaction Costs 7 Benchmark-Relative Optimisation 8 Core-Satellite Investing: Budgeting Active Manager Risk Index