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Portfolio Construction and Risk Budgeting (3rd ed) (Hardcover)

by Bernd Scherer (Author)

4.0 out of 5 stars See all reviews (1 customer review)

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Product details

Hardcover: 300 pages
Publisher: Risk Books; 3rd Revised Edition edition (31 Mar 2007)
Language English
ISBN-10: 1904339697
ISBN-13: 978-1904339694
Product Dimensions: 24.1 x 16 x 2.3 cm

Average Customer Review: 4.0 out of 5 stars See all reviews (1 customer review)

Amazon.co.uk Sales Rank: 449,048 in Books (See Bestsellers in Books)

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Product Description

Review

This book makes an important contribution to asset management and I recommend it very strongly Dr Steven E. Satchell, Editor - The Journal of Asset Management

Product Description

The reader is given: 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; and 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 provide 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 recommended for practitioners including portfolio managers, consultants, strategists, marketers and quantitative analysts. It would also benefit final year undergraduates and MBAs looking to expand their knowledge beyond the mean-variance based solutions commonly taught in business schools.

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1 of 1 people found the following review helpful:

4.0 out of 5 stars Good practical companion., 12 Feb 2003

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This review is from: Portfolio Construction and Risk Budgeting (Hardcover)

A well written book with plenty of examples. Whilst there are one or two typographical errors in some they are more an invitation for the reader to work through them as a companion to the practical solutions each chapter offers. Of particular interest were the sections on risk budgeting in particular which offer some useful insights into model portfolio construction. This book is clearly a useful aid to the student looking for an indtroductory text and to those with a more advanced formal education in finance. However the author has remembered clearly that finance is a practical discipline and requires practical solutions. Whilst the book focused on equities many of the ideas work equally well in a fixed income framework and such teams could do worse than to use this book as a successful template to their quantitative strategy.

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