The Use of Risk Budgets in Portfolio Optimization

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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.
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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
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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
  

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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 ...

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The Use of Risk Budgets in Portfolio Optimization

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The Use of Risk Budgets

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