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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
The Use of Risk Budgets in Portfolio Optimization

The Use of Risk Budgets in Portfolio Optimization

Unger, Albina

Paperback

EconomicsInvesting & FinanceManagement

ISBN10: 365807258X
ISBN13: 9783658072582
Publisher: Springer Nature
Published: Sep 22 2014
Pages: 424
Weight: 1.29
Height: 1.00 Width: 5.83 Depth: 8.27
Language: English
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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