Portfolio Construction and Risk Budgeting

by Bernd Scherer

Building on the solid foundation of the first two bestselling editions, this significantly extended third edition updates previous content and incorporates three new chapters. Expanding on the comprehensive treatment of alternative portfolio construction techniques and discussing the area of risk budgeting from an asset management perspective, you are given a critical review of a range of portfolio techniques.

This revised third edition provides you with:

key concepts and methods to implement quantitatively-driven portfolio construction; knowledge of satellite investing, estimation error heuristics, scenario optimisation, mean variance investing, Bayesian methods, budgeting active risk, non-normality and multiple manager allocation; practical applications and accessible problem-solving skills; quantitative analysis that is supported by extensive examples, tables and charts to help practitioners adopt the subject matter in their day-to-day work.

The new chapters bring you up-to-date information on portfolio optimisation, with differentiation of alpha and beta testing, covariance estimation, showing estimation error vs. model error and fundamental vs. statistical models.

This book is highly recommended for practitioners including portfolio managers, consultants, strategists, marketers and quantitative analysts. It would also give an edge to final year undergraduates and MBAs looking to expand their knowledge beyond the mean-variance based solutions commonly taught in business schools.

300 pages, Hardcover

First published September 1, 2004