Portfolio construction and risk budgeting
Author(s)
Bibliographic Information
Portfolio construction and risk budgeting
Risk Books, c2002
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Note
Includes bibliographical references and index
Description and Table of Contents
Description
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.
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
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