ISBN 13 : 978-1-178272-100-0

Sommaire : Contents

Introduction

1. A Primer on Portfolio Theory
2. Application in Mean–Variance Investing
3. Incorporating Deviations from Normality: Lower Partial Moments
4. Portfolio Resampling and Estimation Error
5. Robust Portfolio Optimisation and Estimation Error
6. Bayesian Analysis and Portfolio Choice
7. Testing Portfolio Construction Methodologies Out-of-Sample
8. Portfolio Construction with Transaction Costs
9. Portfolio Optimisation with Options: From the Static Replication of CPPI Strategies to a More General Framework
10. Scenario Optimisation
11. Core–Satellite Investing: Budgeting Active Manager Risk
12. Benchmark-Relative Optimisation
13 .Removing Long-Only Constraints: 120/20 Investing
14. Performance-Based Fees, Incentives and Dynamic Tracking Error Choice
15. Long-Term Portfolio Choice
16. Risk Management for Asset-Management Companies

Langue : Anglais

Edition : 5ème

Illustration(s) : Tableau(x) ; Schémas

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Professeur EDHEC : Oui

Propriétaire : Bibliothèque