Scherer, Bernd 1964-
Portfolio construction and risk budgeting Bernd Scherer. - 3a. edición - xv, 318 páginas ilustrado 24 cm.
Incluye referencias bibliográficas e índice.
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
9781904339694
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--Allocation
332.632 / SC326p
Portfolio construction and risk budgeting Bernd Scherer. - 3a. edición - xv, 318 páginas ilustrado 24 cm.
Incluye referencias bibliográficas e índice.
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
9781904339694
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--Allocation
332.632 / SC326p