Portfolio construction and risk budgeting
著者
書誌事項
Portfolio construction and risk budgeting
Risk Books, c2002
大学図書館所蔵 全6件
注記
Includes bibliographical references and index
内容説明・目次
内容説明
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.
目次
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
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