Portfolio Construction and Risk Budgeting (4th Edition)

Portfolio Construction and Risk Budgeting reflects how things have changed since the financial crisis. Containing the basics of portfolio theory with cutting-edge investment management research, Bernd Scherer provides a critical review of a range of portfolio management techniques highlighting strengths, weaknesses and how to implement quantitatively-driven portfolio construction.

Building on the solid foundation of the previous bestselling editions, this significantly extended fourth edition updates content and incorporates a more practical approach than previous editions.

Completely updated to take in the lessons from the largest financial crisis in a generation, this new edition of Portfolio Construction and Risk Budgeting provides the reader with a clear overview of quantitative methods and a comprehensive and up-to-date coverage of alternative portfolio construction techniques including:

* an understanding of 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 supported by extensive examples, tables and charts to enable practitioners to apply the subject matter to their day-to-day work.

In the fourth edition of this popular and influential book chapters have been considerably extended to cover the rapid expansion of the literature since the financial crises and many chapters now also feature exercise sections to challenge your understanding of the methodologies covered. There is 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.

Portfolio Construction and Risk Budgeting 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.