Portfolio Construction and Risk Budgeting

Bestseller! Recently reprinted due to popular demand

From an asset management perspective, this title systematically discusses the area of risk budgeting and portfolio construction with an emphasis on practical applications and problem solving as well as providing a critical review of existing portfolio techniques.

Portfolio Construction and Risk Budgeting clearly presents 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.

Written in a highly accessible and logical style that avoids the need for overly complicated maths, it presents a comprehensive overview of quantitative methods by providing extensive examples, tables and charts to help the reader adopt the subject matter into their day-to-day work. By using the same dataset for all examples throughout, Portfolio Construction and Risk Budgeting allows for easy comparison of the outcomes for different techniques and objectives.