Portfolio Construction and Risk Budgeting - Hardcover

Scherer, Bernd

Hardcover

ISBN 10: 1899332448 ISBN 13: 9781899332441

Publisher: Risk Books, 2002

Synopsis

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.

About this title

Review

"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 is sophisticated without being too technical" Glyn Holton, Contingency Analysis "This book shows an approach that leads to more intuitive portfolios...it is highly recommended to the professional and academic communities" Srefan HArtmann, Global head of quantitative analysis, ABN AMRO

About the Author

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.

Edition details

• Publisher: Risk Books
• Publication date: 2002
• Language: English
• ISBN 10: 1899332448
• ISBN 13: 9781899332441
• Binding: Hardcover
• Number of pages: 300