Portfolio Construction and Risk Budgeting

Bestseller! Recently reprinted due to popular demand

From an asset management perspective, this title systematically discusses the area of risk budgeting and portfolio construction with an emphasis on practical applications and problem solving as well as providing a critical review of existing portfolio techniques.

Portfolio Construction and Risk Budgeting clearly presents the key concepts and methods in order to help you plan and 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, amongst others.

Written in a highly accessible and logical style that avoids the need for overly complicated maths, it presents a comprehensive overview of quantitative methods by providing extensive examples, tables and charts to help the reader adopt the subject matter into their day-to-day work. By using the same dataset for all examples throughout, Portfolio Construction and Risk Budgeting allows for easy comparison of the outcomes for different techniques and objectives.

Dr Bernd Scherer heads the Advanced Applications Group in Europe and the Middle East at Deutsche Bank’s Asset Management division, offering cutting edge investment solutions to a sophisticated institutional client base. Before joining Deutsche Bank Dr Scherer globally headed fixed-income portfolio research at Schroders Investment Management in London. During his 10-year career in asset management he has held various positions at Morgan Stanley, Oppenheim Investment Management and JP Morgan Investment Management. He widely publishes in relevant asset management industry journals, investment handbooks and is a regular speaker at investment conferences. Dr Scherer’s current research interests focus on asset valuation, portfolio construction, strategic asset allocation and asset liability modelling. Dr Scherer holds MBA and MSC degrees from the University of Augsburg and the University of London, as well as a PhD in finance from the University of Giessen