Portfolio Construction and Risk Budgeting, Second Edition

This revised and updated second edition of the best-selling classic systematically discusses the area of portfolio construction and risk budgeting from an asset management perspective with an emphasis on practical applications and problem solving, as well as providing you with a critical review of existing portfolio techniques.

Presents clearly 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.

Now includes a dedicated new chapter on portfolio construction with transaction costs.

Written in a highly accessible and logical style that avoids the need for overly complicated maths, this title presents a comprehensive overview of quantitative methods by providing extensive examples, tables and charts to help you adopt the text into your day-to-day work.

Utilises the same dataset for all examples throughout, this book enables you to easily compare and contrast the outcome of different techniques and objectives.