Biblioteca Univ. Surcolombiana

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Portfolio construction and risk budgeting Bernd Scherer.

By: Scherer, Bernd, 1964-.
London Risk Books ©2007Edition: 3a. edición.Description: xv, 318 páginas ilustrado 24 cm.ISBN: 9781904339694.Subject(s): Analisis de inversiones -- Modelo matemático | Administración de cartera (finanzas) -- Modelo matemático | Gestión del riesgo -- Modelo matemático | Risk management -- Mathematical models | Asignación de activos | Portfolio management -- Mathematical models | Investment analysis -- Mathematical models | Asset -- AllocationDDC classification: 332.632
Contents:
Traditional portfolio construction: Select issues -- Incorporating deviations from normality: Lower partial moments -- Portfolio resampling and estimation error -- Robust portfolio optimisation and estimation error -- Bayesian analysis and portfolio choice -- Testing portfolio construction methodologies out-of-sample -- Portfolio construction with transaction costs -- Portfolio optimisation with options: from the static replication of CPPI strategies to a more general framework -- Scenario optimisation -- Core-satellite investing: Budgeting active manages risk -- Benchmark-relative optimisation -- Removing long only constraints: 120/20 investing -- Index
List(s) this item appears in: Economia
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Item type Current location Collection Call number Copy number Status Date due Barcode Item holds
Libros Libros Biblioteca Central
General 332.632 / SC326p (Browse shelf) Ej.1 Available 8000022255
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Traditional portfolio construction: Select issues -- Incorporating deviations from normality: Lower partial moments -- Portfolio resampling and estimation error -- Robust portfolio optimisation and estimation error -- Bayesian analysis and portfolio choice -- Testing portfolio construction methodologies out-of-sample -- Portfolio construction with transaction costs -- Portfolio optimisation with options: from the static replication of CPPI strategies to a more general framework -- Scenario optimisation -- Core-satellite investing: Budgeting active manages risk -- Benchmark-relative optimisation -- Removing long only constraints: 120/20 investing -- Index

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