Research and Markets: Portfolio Construction and Risk Budgeting (2015 Edition)

DUBLIN--()--Research and Markets (http://www.researchandmarkets.com/research/458r7v/portfolio) has announced the addition of the "Portfolio Construction and Risk Budgeting (5th Edition)" book to their offering.

Completely updated and extended to cover the rapid expansion of the literature since the financial crises, this new edition of Portfolio Construction and Risk Budgeting provides the reader with a clear overview of the subject. The author presents quantitative methods and 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.

Chapters feature:

- Application in Mean-Variance Investing

- Incorporating Deviations from Normality

- Portfolio Resampling and Estimation Error

- Robust Portfolio Optimisation and Estimation Error

- Bayesian Analysis and Portfolio Choice

This new edition is highly recommended for practitioners including portfolio managers, consultants, strategists, marketers and quantitative analysts.

Key Topics Covered:

1 A Primer on Portfolio Theory

2 Application in Mean-Variance Investing

3 Diversification

4 Frictional Costs of Diversification

5 Risk Parity

6 Incorporating Deviations from Normality: Lower Partial Moments

7 Portfolio Resampling and Estimation Error

8 Robust Portfolio Optimisation and Estimation Error

9 Bayesian Analysis and Portfolio Choice

10 Testing Portfolio Construction Methodologies Out-of-Sample

11 Portfolio Construction with Transaction Costs

12 Portfolio Optimisation with Options: From the Static Replication of CPPI Strategies to a More General Framework

13 Scenario Optimisation

14 Core-Satellite Investing: Budgeting Active Manager Risk

15 Benchmark-Relative Optimisation

16 Removing Long-Only Constraints: 120/20 Investing

17 Performance-Based Fees, Incentives and Dynamic Tracking Error Choice

18 Long-Term Portfolio Choice

19 Risk Management for Asset-Management Companies

20 Valuation of Asset Management Firms

21 Tail Risk Hedging

For more information visit http://www.researchandmarkets.com/research/458r7v/portfolio

Contacts

Research and Markets
Laura Wood, Senior Manager
press@researchandmarkets.com
For E.S.T Office Hours Call 1-917-300-0470
For U.S./CAN Toll Free Call 1-800-526-8630
For GMT Office Hours Call +353-1-416-8900
U.S. Fax: 646-607-1907
Fax (outside U.S.): +353-1-481-1716
Sector: Business, Banking and Financial Services

Contacts

Research and Markets
Laura Wood, Senior Manager
press@researchandmarkets.com
For E.S.T Office Hours Call 1-917-300-0470
For U.S./CAN Toll Free Call 1-800-526-8630
For GMT Office Hours Call +353-1-416-8900
U.S. Fax: 646-607-1907
Fax (outside U.S.): +353-1-481-1716
Sector: Business, Banking and Financial Services