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Portfolio construction and risk budgeting

By: Scherer, BerndMaterial type: TextTextOriginal language: Spanish Publisher: Londres ; Risk Book ; 2010Edition: 4a edDescription: 479 pISBN: 978-1-906348-35-9Subject(s): Gestión de carteras | NullLOC classification: HG/4529.5/S35/2010
Contents:
Contiene: 1. A primer on portfolio theory.- 2. Application in mean variance investing.- 3. Incorporating deviations from normality: lower partial moments.- 4. Portfolio resampling and estimation error.- 5. Robust portfolio optimissation and estimation error.- 6. Bayesian analysis and portfolio choice.- 7. Testing portfolio construction methodologies out of sample.- 8. Portfolio construction with transaction costs.- 9. Portfolio optimisation with options: from the static replication of CPPI strategies to a more general framework.- 10. Scenario optimisation.- 11. Core - satellite investing: budgeting active manager risk.- 12. Benchmark relative optimisation.- 13. Removing long only constraints.- 14. Performance bases fees, incentives and dynamic tracking error choice.- 15. Long term portfolio choice.- 16. Risk management for asset management companies.
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Libros Libros Biblioteca de la Superintendencia del Mercado de Valores - SMV
HG/4529.5/S35/2010 (Browse shelf) Available 00003287

Contiene: 1. A primer on portfolio theory.- 2. Application in mean variance investing.- 3. Incorporating deviations from normality: lower partial moments.- 4. Portfolio resampling and estimation error.- 5. Robust portfolio optimissation and estimation error.- 6. Bayesian analysis and portfolio choice.- 7. Testing portfolio construction methodologies out of sample.- 8. Portfolio construction with transaction costs.- 9. Portfolio optimisation with options: from the static replication of CPPI strategies to a more general framework.- 10. Scenario optimisation.- 11. Core - satellite investing: budgeting active manager risk.- 12. Benchmark relative optimisation.- 13. Removing long only constraints.- 14. Performance bases fees, incentives and dynamic tracking error choice.- 15. Long term portfolio choice.- 16. Risk management for asset management companies.

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