Description: Use of Risk Budgets in Portfolio Optimization, Paperback by Unger, Albina, ISBN 365807258X, ISBN-13 9783658072582, Like New Used, Free shipping in the US 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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Book Title: Use of Risk Budgets in Portfolio Optimization
Number of Pages: Xxiv, 424 Pages
Language: English
Publication Name: Use of Risk Budgets in Portfolio Optimization
Publisher: Springer Fachmedien Wiesbaden Gmbh
Publication Year: 2014
Subject: Finance / General, Economics / Macroeconomics, Money & Monetary Policy
Type: Textbook
Item Weight: 202.6 Oz
Author: Albina Unger
Subject Area: Business & Economics
Item Length: 8.3 in
Item Width: 5.8 in
Format: Trade Paperback
