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Risk Books Portfolio Construction and Risk Budgeting - 5th Edition

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Description

Completely updated and extended to cover the rapid expansion of the literature since the financial crises, this new edition of Portfolio Construction and Risk Budgeting provides the reader with a clear overview of the subject. The author presents quantitative methods and comprehensive and up-to-date coverage of alternative portfolio construction techniques, ranging from traditional methods based on mean variance and lower-partial moments approaches, through Bayesian techniques, to more recent developments such as portfolio re-sampling and stochastic programming solutions using scenario optimisation. Chapters feature: - Application in Mean Variance Investing - Incorporating Deviations from Normality - Portfolio Resampling and Estimation Error - Robust Portfolio Optimisation and Estimation Error - Bayesian Analysis and Portfolio Choice This new edition is highly recommended for practitioners including portfolio managers, consultants, strategists, marketers and quantitative analysts.

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
27 April 2015
Listed Since
27 January 2015

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