The Use of Risk Budgets in Portfolio Optimization

相似文件 换一批

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk, Different Market Phases, Robustness, and Factor Exposures) to investigate the use of these models for asset allocation. Beside the risk budgeting models, alternatives of risk-based investment styles are also presented and examined. The results show that equalizing the risk across the assets does not prevent losses, especially in crisis periods and the performance can mainly be explained by exposures to known asset pricing factors. Thus, the advantages of these approaches compared to known minimum risk portfolios are doubtful.
]

本帖隐藏的内容

Albina Unger (auth.)-The Use of Risk Budgets in Portfolio Optimization-Springer .pdf (4.45 MB, 需要: 8 个论坛币)

2014-11-12 19:44:23 上传

The Use of Risk Budgets in Portfolio Optimization
需要: 8 个论坛币  [购买]

Paperback: 424 pages
Publisher: Springer Gabler; 2015 edition (September 11, 2014)
Language: English
ISBN-10: 365807258X
ISBN-13: 978-3658072582
Product Dimensions: 5.8 x 1 x 8.3 inches
Shipping Weight: 1.3 pounds

• http://www.amazon.com/Use-Risk-Budgets-Portfolio-Optimization/dp/365807258X/ref=sr_1_1?ie=UTF8&qid=1415792255&sr=8-1&keywords=The+Use+of+Risk+Budgets+in+Portfolio+Optimization
  

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏3 回帖

关键词：Optimization Portfolio Portfoli Budgets Budget allocation investment management budgeting different

大家开心 发表于 2014-11-12 19:44
Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly p ...

好书，好书

The Use of Risk Budgets in Portfolio Optimization

see...............

如果您要查看本帖隐藏内容请回复

谢谢啊，认真看一下

nice nice

The Use of Risk Budgets

thanks for your sharing

好书，好书