Portfolio Construction and Analytics

Identifying investment opportunities, keeping portfolios aligned with investment objectives, and monitoring risk and performance are all major functions of an investment management firm and all rely heavily on analytics output. The need to focus on investment analytics in a coherent way has never been greater. In addition to dealing with a tremendous amount of regulatory change, the financial industry is trying to cope with the challenges of managing big data and assessing the risks associated with using models. Practitioners who want a competitive edge will need a deep understanding of state-of-the-art methods and models for building a robust, data-driven investment strategy. Portfolio Construction and Analytics is the authoritative, single-source tour of the latest solutions in the analytic investment process for academia and real-world practice alike.

Even readers familiar with the subject will gain fresh insight from the multi-disciplinary approach taken in this book. This comprehensive resource provides an overview of the analytics process at investment management firms from multiple angles: the data management side, the modeling side, the software resources side, and the investment strategy side. Versatile material gives you access to broadly used approaches to portfolio analytics and the newest trends in metrics, modeling approaches, and portfolio analytics system design. Investment professionals get hands-on guidance and best practices, and researchers in academia get an up-to-date, integrated treatment of portfolio construction and analytics. This book is your key to:

- Optimizing portfolios in terms of total risk and in terms of risk relative to a selected benchmark using classic quantitative approaches

- Improving your decision making by understanding factors and strategies specific to equity and fixed income portfolio management

- Constructing smart portfolios and managing risk with financial derivatives

You can practice the techniques described in this book right away with time-saving tips for implementing the examples with Microsoft Excel® and R.

For high-level, comprehensive coverage of investment analytics with the clarity of real-world examples, turn to the trusted brand in finance and its Portfolio Construction and Analytics.