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Portfolio construction and risk budgeting

Author: Bernd Scherer
Publisher: London : Risk Books, ©2002.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:

This work discusses the area of risk budgeting and portfolio construction from an asset management perspective with a critical review of existing portfolio techniques.

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Genre/Form: Electronic books
Additional Physical Format: Print version:
Scherer, Bernd, 1964-
Portfolio construction and risk budgeting.
London : Risk Books, ©2002
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Bernd Scherer
ISBN: 0585419329 9780585419329
OCLC Number: 50702412
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (xv, 230 pages) : illustrations
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
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
Responsibility: Bernd Scherer.

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"This book makes an important contribution to asset management and I recommend it very strongly" Dr Stephen Satchell, Trinity College, Cambridge "This book will appeal to a large audience because it Read more...

 
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