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. Upon reading Modern Portfolio Management, readers will understand the importance of simulating real securities (especially fixed income and structured products) during the making of optimal portfolios, as well as the importance of simulating financial investments over time to match in a transparent way actual goals and constraints instead of relying solely upon past performance or personal judgement. Traditional portfolio management approaches have proven to be ineffective. Probabilistic scenario optimisation is emerging as an appealing alternative framework to facilitate the realignment of investors' risk/return preferences with the risk/return characteristics of actual investments. Chapters include: A Modern Risk Management Perspective and The Probability Measure Dealing with Real Securities and Reinvestment Strategies: Fixed Income, Structured Products and Inflation Elicitation and Modeling of Risk/Return Time Profiles Review of Markowitz and Black-Litterman approaches Probabilistic Scenario Optimisation and Goal-based Investing Optimisation Case Studies This book is a must-read for portfolio managers as well as financial advisors - in particular, all investment managers engaging in (or thinking of engaging in) long-term and goal-based asset allocations.

金融市场经历了一段危机时期，投资者和金融顾问之间的信任关系紧张；新的监管已经形成，以推动更高水平的透明度和基于风险的沟通，作为投资决策的一部分。这激发了人们对更好的投资组合优化技术的追求，这种技术可以将真实产品的增值不对称性（因为它们对危机前的预算有很大贡献）与投资者的生命周期要求结合起来，以直观的图形表示法支持真实投资组合和产品之间看似复杂的数学关系。通过阅读现代投资组合管理，读者将了解在制定最佳投资组合时模拟真实证券（尤其是固定收益和结构性产品）的重要性，以及随着时间的推移模拟金融投资的重要性，以透明的方式匹配实际的目标和限制，而不是仅仅依靠过去的业绩或个人判断。传统的投资组合管理方法已经被证明是无效的。概率情景优化正在成为一个有吸引力的替代框架，以促进投资者的风险/回报偏好与实际投资的风险/回报特征的重新调整。本章包括：现代风险管理视角和处理真实证券的概率度量和再投资策略：固定收益，结构化产品和通胀诱因和风险/回报时间剖面建模马科维茨和布莱克·利特曼方法回顾概率情景优化和基于目标的投资优化案例研究本书是投资组合经理和财务顾问的必读书籍，特别是，所有从事（或考虑从事）长期和基于目标的资产配置的投资经理。