Portfolio Construction
Turning a set of views into a set of weights: covariance, constraints, transaction costs and the gap between theory and a real book.
10 books · 6 people behind it
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- The Intelligent Asset AllocatorWilliam J. Bernstein, 2000
- Capital IdeasPeter L. Bernstein, 1992
- Expected ReturnsAntti Ilmanen, 2011
The people behind it 6
Each person holds a book in this entry or names it in their own tags.
Investors 3
Academics 2
Journalists 1
Books 10
Peter L. Bernstein · 1992 · How Markowitz, Sharpe and Black moved from the seminar room to the trading desk.
Richard C. Grinold, Ronald N. Kahn · 1995 · The fundamental law of active management; the quantitative manager's reference.
William J. Bernstein · 2000 · The accessible version of the same problem.
Antti Ilmanen · 2011 · What each building block can reasonably be expected to contribute.
Lasse Heje Pedersen · 2015 · Construction under real frictions, funding and liquidity constraints.
Michael M. Pompian · 2008 · Applies behavioural finance to building portfolios for real clients.
Tony Robbins · 2014 · Interviews with large allocators packaged as retail portfolio advice