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- Product code: 14904
- ISBN: 1899332448,
ISBN13: 9781899332441,
300 pages, hardback
Published by Risk Books on 2002
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Description of Portfolio Construction and Risk Budgeting |
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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Reviews"The best-balanced contribution of any that I have read up until now...this book makes an important contribution to asset management and I recommend it very strongly." Dr Stephen E. Satchell, Editor - The Journal of Asset Management
"Highly recommended to the professional and academic communities." Stephen Hartmann, Global Head of Quantative Analysis ABN AMRO
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Contents of Portfolio Construction and Risk Budgeting |
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. Benchmark-Relative Optimisation
7. Core-Satellite Investing: Budgeting Active Manager Risk
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About Bernd Scherer |
Dr Bernd Scherer heads the Advanced Applications Group in Europe and the Middle East at Deutsche Bank's Asset Management division, offering cutting edge investment solutions to a sophisticated institutional client base. Before joining Deutsche Bank, Dr Scherer globally headed fixed-income portfolio research at Schroder Investment Management in London. During his 10-year career in asset management he has held various positions at Morgan Stanley, Oppenheim Investment Management and JP Morgan Investment Management. He publishes widely in relevant asset management industry journals and investment handbooks and is a regular speaker at investment conferences. Dr Scherer's current research interests focus on asset valuation, portfolio construction, strategic asset allocation and asset liability modelling. Dr Scherer holds MBA and MSc degrees from the University of Augsburg and the University of London, as well as a PhD in finance from the University of Giessen.
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