Portfolio construction and risk budgeting:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London
Risk Books
2010
|
| Edition: | 4. ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVII, 479 S. graph. Darst. |
| ISBN: | 9781906348359 |
Staff View
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Record in the Search Index
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| adam_text | Titel: Portfolio construction and risk budgeting
Autor: Scherer, Bernd
Jahr: 2010
Contents
About the Author ix
Introduction xi
1 A Primer on Portfolio Theory 1
2 Application in Mean-Variance Investing 51
3 Incorporating Deviations from Normality: Lower Partial
Moments 75
4 Portfolio Resampling and Estimation Error 113
5 Robust Portfolio Optimisation and Estimation Error 143
6 Bayesian Analysis and Portfolio Choice 165
7 Testing Portfolio Construction Methodologies Out-of-Sample 209
8 Portfolio Construction with Transaction Costs 223
9 Portfolio Optimisation with Options: From the Static
Replication of CPPI Strategies to a More General Framework 263
10 Scenario Optimisation 281
11 Core-Satellite Investing: Budgeting Active Manager Risk 307
12 Benchmark-Relative Optimisation 337
13 Removing Long-Only Constraints: 120/20 Investing 375
14 Performance-Based Fees, Incentives and Dynamic Tracking
Error Choice 389
15 Long-Term Portfolio Choice 417
16 Risk Management for Asset-Management Companies 439
Index 473
|
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| ctrlnum | (OCoLC)705908613 (DE-599)BVBBV036724546 |
| discipline | Wirtschaftswissenschaften |
| edition | 4. ed. |
| format | Book |
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| spelling | Scherer, Bernd Verfasser aut Portfolio construction and risk budgeting Bernd Scherer 4. ed. London Risk Books 2010 XVII, 479 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020642347&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Scherer, Bernd Portfolio construction and risk budgeting Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4115601-8 |
| title | Portfolio construction and risk budgeting |
| title_auth | Portfolio construction and risk budgeting |
| title_exact_search | Portfolio construction and risk budgeting |
| title_full | Portfolio construction and risk budgeting Bernd Scherer |
| title_fullStr | Portfolio construction and risk budgeting Bernd Scherer |
| title_full_unstemmed | Portfolio construction and risk budgeting Bernd Scherer |
| title_short | Portfolio construction and risk budgeting |
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