Portfolio Construction and Management

Edited by Brice Benaben and Julien Jarmoszko

Discipline:  Investing

First published:

The digitalisation of the financial market and change in regulations are transforming the portfolio management industry.

Portfolio practitioners have to adapt their portfolio construction and asset allocation techniques to changes in the market structure, their regulatory or balance sheet constraints and the new rise in information and transparency with the development of big data and machine learning. This book will guide readers in dealing with these difficult challenges.

Portfolio Construction and Management, edited by Brice Benaben and Julien Jarmoszko, explores the new alternative and innovative methodologies and trends in portfolio construction and management. Featuring an interview with Suni Harford, president of UBS Asset Management, as well as a host of leading professional portfolio experts, the book covers how to implement methodologies within regulatory and liability constraints. Importantly, it also analyses challenges coming from the market and regulatory environment, the digitalisation of the financial system and the new competition from fintechs. Specific chapters focus on:

  • factor investing for practitioners;
  • integrating climate risk considerations within portfolios;
  • optimisation of trading portfolios under regulatory capital constraints;
  • digitalisation of the portfolio management process.

This essential text bridges the gap between efficient frontier theory and modern theories, the concepts of smart beta and risk parity and the practicalities of emerging technologies such as big data and AI. It is useful for all professional investors, risk and asset/liability managers, regulators and academics.

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