Portfolio Construction and Risk Budgeting
Bernd Scherer
Risk Books
This work discusses the area of risk budgeting and portfolio construction from an asset management perspective with a critical review of existing portfolio techniques. 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.