Portfolio Construction and Risk Budgeting, Second Edition [Hardcover]

Bernd Sherer (Author)

Book Description

ISBN-10: 1904339301 | ISBN-13: 978-1904339304 | Publication Date: September 2004 | Edition: 2nd

This revised and updated second edition of the best-selling classic systematically discusses the area of portfolio construction and risk budgeting from an asset management perspective with an emphasis on practical applications and problem solving, as well as providing you with a critical review of existing portfolio techniques.

Presents clearly the key concepts and methods in order to help you plan and implement quantitatively driven portfolio construction.

Areas include satellite investing, estimation error heuristics, scenario optimisation, mean variance investing, Bayesian methods, budgeting active risk, non-normality and multiple manager allocation amongst others.

Now includes a dedicated new chapter on portfolio construction with transaction costs.

Written in a highly accessible and logical style that avoids the need for overly complicated maths, this title presents a comprehensive overview of quantitative methods by providing extensive examples, tables and charts to help you adopt the text into your day-to-day work.

Utilises the same dataset for all examples throughout, this book enables you to easily compare and contrast the outcome of different techniques and objectives.

Editorial Reviews

Review

"Highly recommended to the professional and academic communities." -- Stefan Hartmann, Global Head of Quantitative Analysis, ABN AMRO

"Sophisticated without being too technical" -- Glyn A. Holton - Contingency Analysis

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

About the Author

Dr Bernd Scherer heads the Advanced Applications Group in Europe and the Middle East at Deutsche Bank's Asset Management division, offering cutting edge investment solutions to a sophisticated institutional client base.

Before joining Deutsche Bank, Dr Scherer globally headed fixed-income portfolio research at Schroder Investment Management in London. During his 10-year career in asset management he has held various positions at Morgan Stanley, Oppenheim Investment Management and JP Morgan Investment Management.

He publishes widely in relevant asset management industry journals and investment handbooks and is a regular speaker at investment conferences. Dr Scherer's current research interests focus on asset valuation, portfolio construction, strategic asset allocation and asset liability modelling. Dr Scherer holds MBA and MSc degrees from the University of Augsburg and the University of London, as well as a PhD in finance from the University of Giessen.

Product Details

• Hardcover: 250 pages
• Publisher: Risk Books; 2nd edition (September 2004)
• Language: English
• ISBN-10: 1904339301
• ISBN-13: 978-1904339304
• Product Dimensions: 9.5 x 6.4 x 0.8 inches
• Shipping Weight: 1.6 pounds
• Amazon Best Sellers Rank: #2,742,429 in Books (See Top 100 in Books)