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Advances in Portfolio Construction and Implementation - 1st Edition - ISBN: 9780750654487, 9780080471846

Advances in Portfolio Construction and Implementation

1st Edition

Series Editor: Stephen Satchell
Editor: Alan Scowcroft
eBook ISBN: 9780080471846
Imprint: Butterworth-Heinemann
Published Date: 25th June 2003
Page Count: 384
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Table of Contents

A review of portfolio planning: models and systems; Generalised mean variance analysis and robust portfolio diversification; Portfolio construction from mandate to stock weight: a practitioner's perspective; Enhanced indexation; Portfolio management under taxes; Using genetic algorithms to construct portfolios; Near-uniformly distributed, stochastically generated portfolios; Modelling directional hedge funds mean, variance and correlation with tracker funds; Integrating market and credit risk in fixed income portfolios; Incorporating skewness and kurtosis in portfolio optimization: a multidimensional efficient set; Balancing growth and shortfall probability in continuous time active portfolio management; Assessing the merits of risk-based optimisation for portfolio concentration; The mean-downside risk portfolio frontier: a non-parametric approach ; Some exact results for portfolio estimators in the two-period capital market model; optimal asset allocation for endowments: a large deviations approach; Methods of relative portfolio optimization; Predicting portfolio returns using exact efficient set distributors


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.

Key Features

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)


Risk Managers, Actuaries, Investment Managers, and Consultants.


No. of pages:
© Butterworth-Heinemann 2003
25th June 2003
eBook ISBN:

Ratings and Reviews

About the Series Editor

Stephen Satchell

Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.

Affiliations and Expertise

Consultant to financial institutions and Reader in Financial Econometrics at Trinity College, Cambridge, Stephen Satchell is Editor-in-Chief of the Journal of Asset Management and Derivatives, Use, Trading, and Regulation. He has edited or authored over 20 books on finance.

About the Editor

Alan Scowcroft

Alan is a Managing Director and the Global Head of Equities Quantitative Research at UBS Warburg. Since joining UBS Phillips & Drew as an econometrician in 1984, he has worked on every aspect of quantitative modelling from stock valuation to asset allocation. He has been closely associated with the pioneering work on equity style and portfolio analysis developed by UBS Warburg. Alan was educated at Ruskin College, Oxford and Wolfson College, Cambridge where he was awarded the Jennings prize for academic achievement.

Affiliations and Expertise

Managing Director and the Global Head of Equities Quantitative Research, UBS Warburg.