Risk Books, Bernd Scherer – Portfolio Construction and Risk Budgeting

Portfolio Construction and Risk Budgeting

Comprehensive treatment of alternative portfolio construction techniques and discussing the area of risk budgeting from an asset management perspective.

-key concepts and methods to implement quantitatively-driven portfolio construction;
-knowledge of satellite investing, estimation error heuristics, scenario optimisation, mean variance investing, Bayesian methods, budgeting active risk, non-normality and multiple manager allocation;
-practical applications and accessible problem-solving skills;
-quantitative analysis that is supported by extensive examples, tables and charts to help practitioners adopt the subject matter in their day-to-day work.

This book is highly recommended for practitioners including portfolio managers, consultants, strategists, marketers and quantitative analysts. It would also give an edge to final year undergraduates and MBAs looking to expand their knowledge beyond the mean-variance based solutions commonly taught in business schools.

Table of Contents

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 Benchmark-Relative Optimisation
7 Core–Satellite Investing: Budgeting Active Manager Risk
Index

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