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Modern Portfolio Management
From Markowitz to Probabilistic Scenario Optimisation
Discipline: Derivatives & Options
No of pages: 204
First published:
ISBN: 9781782722045
Modern Portfolio Management provides a methodology for portfolio choice based upon modern risk management techniques and a clearer definition of the investment risk/return profile to feature goal-based investing and probabilistic scenario optimisation.
The financial markets have undergone a period of distress that has strained the trusted relationship between investors and financial advisors; new regulation has been forged to push for higher levels of transparency and risk-based communication as part of investment decision-making. This has ignited the quest for better portfolio optimisation techniques that can combine the added-value asymmetry of real products (as they strongly contributed to pre-crisis budgets) with the life-cycle requirements of investors, supported by intuitive graphical representation of seemingly complex mathematical relationships between real portfolios and products as required by regulation.
Contents
Foreword
Introduction
Beyond Modern Portfolio Theory
A Modern Risk Management Perspective
The Probability Measure
Real Securities and Reinvestment Strategies: Fixed-Income and Inflation-Linked Securities and Structured Products
Derivation and Modelling of Risk–Return Time Profiles
À la Markowitz: A Tale of Simple Worlds
The Black–Litterman Approach: A Tale of Subjective Views
Probabilistic Scenario Optimisation
Case Studies: Mean–Variance and Black–Litterman
Case Studies: Probabilistic Scenario Optimisation