Portfolio construction and risk budgeting Bernd Scherer.
By: Scherer, Bernd.
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: 332.632Item type | Current location | Collection | Call number | Copy number | Status | Date due | Barcode | Item holds |
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Libros | Biblioteca Central | General | 332.632 / SC326p (Browse shelf) | Ej.1 | Available | 8000022255 |
Browsing Biblioteca Central Shelves , Collection code: General Close shelf browser
332.632 / G868a Active portfolio management | 332.632 / H371t The complete guide to option pricing formulas | 332.632 / R667r Robust portfolio optimization and management | 332.632 / SC326p Portfolio construction and risk budgeting | 332.632 / T898f Fixed income securities | 332.632042 / F121f Floating-Rate Securities | 332.632042 / L477t Theory and methodology of tactical asset allocation |
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
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