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The Use of Risk Budgets in Portfolio Optimization
Albina Unger
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Description for The Use of Risk Budgets in Portfolio Optimization
Paperback. Num Pages: 448 pages, 28 black & white illustrations, 192 black & white tables, biography. BIC Classification: KCBM; KFF; KJM. Category: (P) Professional & Vocational. Dimension: 210 x 148 x 25. Weight in Grams: 587.
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 ... Read more
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 ... Read more
Product Details
Format
Paperback
Publication date
2014
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
448
Condition
New
Number of Pages
424
Place of Publication
, Germany
ISBN
9783658072582
SKU
V9783658072582
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Albina Unger
Albina Unger holds a doctoral degree from the Faculty of Finance at the University of Bremen, Germany. She now works as a risk manager.
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