The Use of Risk Budgets in Portfolio Optimization
90,94 €*
Nach dem Kauf zum Download bereit Ein Downloadlink ist wenige Minuten nach dem Kauf im eigenen Benutzerprofil verfügbar.
ISBN/EAN:
9783658072599
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.
Albina Unger holds a doctoral degree from the Faculty of Finance at the University of Bremen, Germany. She now works as a risk manager.
| Autor: | Albina Unger |
|---|---|
| EAN: | 9783658072599 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 10.09.2014 |
| Kategorie: | |
| Schlagworte: | Asset Allocation Equal Risk Contributions Portfolio Management Risk Management Risk Measurement Risk Parity |
Anmelden
Möchten Sie lieber vor Ort einkaufen?
Haben Sie weiterführende Fragen zu diesem Buch oder anderen Produkten? Oder möchten Sie einfach doch lieber in der Buchhandlung stöbern? Wir sind gern persönlich für Sie da und beraten Sie auch telefonisch.
Bergische Buchhandlung R. Schmitz
Wetterauer Str. 6
42897 Remscheid-Lennep
Telefon: 02191/668255
Mo – Fr10:00 – 18:00 UhrSa09:00 – 13:00 Uhr