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.

Portfolio Construction and Risk Budgeting - 5th Edition

Bernd Scherer

Risk Books

The bestselling author of Portfolio Construction and Risk Budgeting brings you the first book of its kind to provide a detailed insight into the interplay between liability calculations, the use of derivatives (including the highly innovative market in inflation derivatives), accounting rules and corporate finance. Liability Hedging and Portfolio Choice provides you with a unique market value/corporate finance approach, instead of the outdated accounting/actuarial framework. After all, the actuarial approach has been the main cause for the recent pension crisis and is inconsistent with modern asset pricing and valuation theory. The book brings you expert guidance on the following topics: - Valuation of pension liabilities - Internal versus external funding - Liability hedging (interest rate risk and inflation risk) - Portfolio choice and liability relative investing - Theory of the firm versus portfolio theory Furthermore, the book argues that the correct approach to view pension liabilities is from a treasury / risk management perspective rather than formulating it as a variation of surplus optimisation. Pension liabilities are essential one way of (more or less complex) structured borrowing from employees and hence very close in concept to issuing corporate bonds to employees. Accepting this demands a complete rethink in terms of valuation, hedging and stakeholder claims. The book offers an integrated corporate finance / risk management approach that is fully consistent with corporate decision making. What’s more it provides invaluable guidance on the use of derivatives, including inflation derivatives, to hedge liabilities. Highly accessible and packed with all new research the book is ideal for derivatives desks, pension funds, trustees, asset management firms, academia or anyone with an interest in derivatives or pension economics.

Liability Hedging and Portfolio Choice

Business & Money

Economics

Building on the solid foundation of the first two bestselling editions, this significantly extended third edition updates previous content and incorporates three new chapters. Expanding on the comprehensive treatment of alternative portfolio construction techniques and discussing the area of risk budgeting from an asset management perspective, you are given a critical review of a range of portfolio techniques. This revised third edition provides you with:  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; 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 bring you 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 highly recommended for practitioners including portfolio managers, consultants, strategists, marketers and quantitative analysts. It would also give an edge to final year undergraduates and MBAs looking to expand their knowledge beyond the mean-variance based solutions commonly taught in business schools.

Portfolio Construction and Risk Budgeting

Completely updated to take in the lessons from the largest financial crisis in a generation, this new edition of Portfolio Construction and Risk Budgeting provides the reader with a clear overview of quantitative methods and a comprehensive and up-to-date coverage of alternative portfolio construction techniques including: * an understanding of 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; * quantitative analysis supported by extensive examples, tables and charts to enable practitioners to apply the subject matter to their day-to-day work. In the fourth edition of this popular and influential book chapters have been considerably extended to cover the rapid expansion of the literature since the financial crises and many chapters now also feature exercise sections to challenge your understanding of the methodologies covered. There is 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. Portfolio Construction and Risk Budgeting is highly recommended for practitioners including portfolio managers, consultants, strategists, marketers and quantitative analysts. It would also give an edge to final year undergraduates and MBAs looking to expand their knowledge beyond the mean-variance based solutions commonly taught in business schools.

Portfolio Construction and Risk Budgeting (4th Edition)

Investing

See the best price to sell, buy, or rent books by Bernd Scherer. BookScouter helps to compare book prices from 25+ online bookstores and 30+ buyback vendors with a single search.

Books by Bernd Scherer

See the best price to sell, buy, or rent books by Bernd Scherer. BookScouter helps to compare book prices from 25+ online bookstores and 30+ buyback vendors with a single search.

Portfolio Construction and Risk Budgeting - 5th Edition

Liability Hedging and Portfolio Choice

Portfolio Construction and Risk Budgeting

Portfolio Construction and Risk Budgeting (4th Edition)