Scherer, Bernd <br/><br/>
Portfolio construction and risk budgeting 

 - 4a ed. 
 - Londres  Risk Book  2010 
 - 479 p. 
<br/><br/>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. 
<br/><br/><label>ISBN: </label>978-1-906348-35-9 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Gestión de carteras
<br/><br/><label>Subjects--Index Terms: </label>Null 
<br/><br/><label>LC Class. No.: </label>HG/4529.5/S35/2010