- 384 pages
- English
- PDF
- Available on iOS & Android
Advances in Portfolio Construction and Implementation
About This Book
Modern Portfolio Theory explores how risk averse investors construct portfolios in order to optimize market risk against expected returns. The theory quantifies the benefits of diversification.Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk and reward. It has profoundly shaped how institutional portfolios are managed, and has motivated the use of passive investment management techniques, and the mathematics of MPT is used extensively in financial risk management. Advances in Portfolio Construction and Implementation offers practical guidance in addition to the theory, and is therefore ideal for Risk Mangers, Actuaries, Investment Managers, and Consultants worldwide. Issues are covered from a global perspective and all the recent developments of financial risk management are presented. Although not designed as an academic text, it should be useful to graduate students in finance.*Provides practical guidance on financial risk management*Covers the latest developments in investment portfolio construction*Full coverage of the latest cutting edge research on measuring portfolio risk, alternatives to mean variance analysis, expected returns forecasting, the construction of global portfolios and hedge portfolios (funds)
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Table of contents
- Front Cover
- Advances in Portfolio Construction and Implementation
- Copyright Page
- Contents
- List of Contributors
- Introduction
- Chapter 1. A review of portfolio planning: models and systems
- Chapter 2. Generalized mean-variance analysis and robust portfolio diversification
- Chapter 3. Portfolio construction from mandate to stock weight: a practitioner's perspective
- Chapter 4. Enhanced indexation
- Chapter 5. Portfolio management under taxes
- Chapter 6. Using genetic algorithms to construct portfolios
- Chapter 7. Near-uniformly distributed, stochastically generated portfolios
- Chapter 8. Modelling directional hedge fundsâmean, variance and correlation with tracker funds
- Chapter 9. Integrating market and credit risk in fixed income portfolios
- Chapter 10. Incorporating skewness and kurtosis in portfolio optimization: a multidimensional efficient set
- Chapter 11. Balancing growth and shortfall probability in continuous time active portfolio management
- Chapter 12. Assessing the merits of rank-based optimization for portfolio constructionâ¤
- Chapter 13. The mean-downside risk portfolio frontier: a non-parametric approach
- Chapter 14. Some exact results for efficient portfolios with given returns
- Chapter 15. Optimal asset allocation for endowments: A large deviations approach
- Chapter 16. Methods of relative portfolio optimization
- Chapter 17. Predicting portfolio returns using the distributions of efficient set portfolios
- Index
- Advances in Portfolio Construction and Implementation