Blick ins Buch

The Use of Risk Budgets in Portfolio Optimization

Albina Unger (Autor)

Buch | Softcover

XXIV, 424 Seiten

2014 | 2015
Springer Fachmedien Wiesbaden GmbH (Verlag)
978-3-658-07258-2 (ISBN)

Lese- und Medienproben

Inhaltsverzeichnis (PDF)

Artikel merken

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.

Albina Unger holds a doctoral degree from the Faculty of Finance at the University of Bremen, Germany. She now works as a risk manager.

TheoreticalBackground.- AlternativeApproaches in Portfolio Management.- Minimum Risk Portfolios.- Risk Budgeting Portfolios.- Robustness.- FactorModels.

Erscheint lt. Verlag	22.9.2014
Zusatzinfo	XXIV, 424 p. 28 illus.
Verlagsort	Wiesbaden
Sprache	englisch
Maße	148 x 210 mm
Gewicht	584 g
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
	Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft
	Wirtschaft ► Volkswirtschaftslehre ► Makroökonomie
Schlagworte	Asset Allocation • Equal Risk Contributions • Portfolio Management • Risk Management • Risk Measurement • Risk Parity
ISBN-10	3-658-07258-X / 365807258X
ISBN-13	978-3-658-07258-2 / 9783658072582
Zustand	Neuware