Portfolio Construction And Risk Budgeting

Author : Bernd Scherer
Publisher :
ISBN 13 :
Total Pages : 258 pages
Book Rating : 4.80/5 ( download)

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Download or read book Portfolio Construction and Risk Budgeting written by Bernd Scherer and published by . This book was released on 2002 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: It provides the key concepts and methods to 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. The emphasis is on practical applications and problem-solving written in a highly accessible style. The title contains quantitative analysis that is supported by extensive examples, tables and charts to help practitioners adopt the subject matter in their day-to-day work.

Author : Thierry Roncalli
Publisher : CRC Press
ISBN 13 : 1482207168
Total Pages : 430 pages
Book Rating : 4.63/5 ( download)

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Download or read book Introduction to Risk Parity and Budgeting written by Thierry Roncalli and published by CRC Press. This book was released on 2016-04-19 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global fina

Author : Neil D. Pearson
Publisher : John Wiley & Sons
ISBN 13 : 1118160835
Total Pages : 242 pages
Book Rating : 4.31/5 ( download)

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Download or read book Risk Budgeting written by Neil D. Pearson and published by John Wiley & Sons. This book was released on 2011-08-31 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Institutionelle Anleger, Fonds- und Portfoliomanager müssen Risiken eingehen, wenn sie Spitzengewinne erzielen wollen. Die Frage ist nur wieviel Risiko. "Risk Budgeting: Portfolio Problem Solving with VaR" liefert die Antwort auf diese Frage. Beim Konzept des Risk Budgeting geht es um Risiko- und Kapitalallokation auf der Grundlage erwarteter Erträge und Risiken, mit dem Ziel, höhere Renditen zu erwirtschaften im Rahmen eines vordefinierten Gesamtrisikoniveaus. Mit Hilfe quantitativer Methoden zur Risikomessung, einschließlich der Value at Risk-Methode läßt sich das Risiko ermitteln und bewerten. Value at Risk (VaR) ist ein Verfahren zur Risikobewertung, das Banken ursprünglich zur Messung und Begrenzung von Marktpreisrisiken eingesetzt haben. Heute wird die VaR-Methode auch verstärkt im Risikomanagement eingesetzt. Dieses Buch bietet eine fundierte Einführung in die VaR-Methode sowie in Verfahren zur Risikomessung bei Extremereignissen und Krisenszenarien (Stress Testing). Darüber hinaus erklärt es, wie man mit Hilfe des Risk Budgeting ein effizienteres Portfoliomanagement erreicht. "Risk Budgeting: Portfolio Problem Solving with VaR" ist das einzige Buch auf dem Markt, das Risk Budgeting und VaR - zwei brandaktuelle Themen im Portfoliomanagement - speziell für institutionelle Investment- und Portfolio-Manager aufbereitet. Eine unverzichtbare Lektüre.

Author : Albina Unger
Publisher :
ISBN 13 : 9783658072605
Total Pages : 424 pages
Book Rating : 4.01/5 ( download)

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Download or read book The Use of Risk Budgets in Portfolio Optimization written by Albina Unger and published by . This book was released on 2015 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : John B. Guerard, Jr.
Publisher : Springer Science & Business Media
ISBN 13 : 0387774394
Total Pages : 796 pages
Book Rating : 4.98/5 ( download)

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Download or read book Handbook of Portfolio Construction written by John B. Guerard, Jr. and published by Springer Science & Business Media. This book was released on 2009-12-12 with total page 796 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.

Author : Francois-Serge Lhabitant
Publisher : Elsevier
ISBN 13 : 0081017863
Total Pages : 274 pages
Book Rating : 4.69/5 ( download)

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Download or read book Portfolio Diversification written by Francois-Serge Lhabitant and published by Elsevier. This book was released on 2017-09-26 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. Focuses on portfolio diversification across all its dimensions Includes recent empirical material that was created and developed specifically for this book Provides several tools to quantify and implement optimal diversification

Author : M. Rasmussen
Publisher : Springer
ISBN 13 : 0230512852
Total Pages : 453 pages
Book Rating : 4.56/5 ( download)

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Download or read book Quantitative Portfolio Optimisation, Asset Allocation and Risk Management written by M. Rasmussen and published by Springer. This book was released on 2002-12-13 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.93/5 ( download)

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Download or read book Risk Bugeting : Risk Appetite and Governance in the Wake of the Financial Crisis written by and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Lev Dynkin
Publisher : Princeton University Press
ISBN 13 : 0691210616
Total Pages : 1000 pages
Book Rating : 4.12/5 ( download)

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Download or read book Quantitative Management of Bond Portfolios written by Lev Dynkin and published by Princeton University Press. This book was released on 2020-05-26 with total page 1000 pages. Available in PDF, EPUB and Kindle. Book excerpt: The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined, quantitative approach to asset management. Here, five top authorities from a leading Wall Street firm provide practical solutions and feasible methodologies based on investor inquiries. While taking a quantitative approach, they avoid complex mathematical derivations, making the book accessible to a wide audience, including portfolio managers, plan sponsors, research analysts, risk managers, academics, students, and anyone interested in bond portfolio management. The book covers a range of subjects of concern to fixed-income portfolio managers--investment style, benchmark replication and customization, managing credit and mortgage portfolios, managing central bank reserves, risk optimization, and performance attribution. The first part contains empirical studies of security selection versus asset allocation, index replication with derivatives and bonds, optimal portfolio diversification, and long-horizon performance of assets. The second part covers portfolio management tools for risk budgeting, bottom-up risk modeling, performance attribution, innovative measures of risk sensitivities, and hedging risk exposures. A first-of-its-kind publication from a team of practitioners at the front lines of financial thinking, this book presents a winning combination of mathematical models, intuitive examples, and clear language.

Author : Bob Litterman
Publisher : John Wiley & Sons
ISBN 13 : 0471480657
Total Pages : 648 pages
Book Rating : 4.55/5 ( download)

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Download or read book Modern Investment Management written by Bob Litterman and published by John Wiley & Sons. This book was released on 2004-11-19 with total page 648 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dieser Band füllt eine echte Marktlücke. "Goldman Sach's Modern Investment" gibt eine Einführung in moderne Investment Management Verfahren, wie sie von Goldman Sachs Asset Management verwendet werden, um erstklassige Investitionsrenditen zu erzielen. Erläutert werden u.a. die moderne Portfoliotheorie (Portfoliodiversifikation zur Risikostreuung), Capital Asset Pricing (Verfahren zur Ermittlung des Risiko-Rendite-Austauschverhältnisses von Finanzanlagen, bei dem der unterschiedliche Risikogehalt von Finanztiteln berücksichtigt wird) sowie eine Reihe aktueller Themen wie z.B. strategische Portfoliostrukturierung, Risikobudgetierung und aktives Portfolio Management. Hier erhalten Sie die Mittel an die Hand, um die Goldman Sachs Asset Management Methode für sich selbst umzusetzen. Das von Fischer Black und Bob Litterman gemeinsam entwickelte Black-Litterman Asset Allocation Model gehört zu den angesehensten und meist verwendeten Modellen zur Portfoliostrukturierung. Litterman und seine Asset Management Group sind oft die treibende Kraft, wenn es um Portfoliostrukturierung und Investmententscheidungen der 100 international größten Pensionsfonds geht.