Portfolio construction and risk budgeting. 3rd ed. (English) Zbl 1200.91009

London: Risk Books (ISBN 978-1-904339-69-4). xv, 318 p. (2007).
Publisher’s description: This revised third edition provides you with
key concepts and methods to implement quantitatively-driven portfolio construction
knowledge of satellite investing, estimation error heuristics, scenario optimisation, mean variance investing, Bayesian methods, budgeting active risk, non-normality and multiple manager allocation
practical applications and accessible problem-solving skills
quantitative analysis that is supported by extensive examples, tables and charts to help practitioners adopt the subject matter in their day-to-day work

The new chapters bring you up-to-date information on portfolio optimisation, with differentiation of alpha and beta testing, covariance estimation, showing estimation error vs. model error and fundamental vs. statistical models.
This book is highly recommended for practitioners including portfolio managers, consultants, strategists, marketers and quantitative analysts. It would also give an edge to final year undergraduates and MBAs looking to expand their knowledge beyond the mean-variance based solutions commonly taught in business schools.


91-02 Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91G10 Portfolio theory
91B30 Risk theory, insurance (MSC2010)