The Use of Risk Budgets in Portfolio Optimization
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Sprache:Englisch
Fr. 73.90
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Beschreibung
Produktdetails
Einband
Taschenbuch
Erscheinungsdatum
22.09.2014
Abbildungen
XXIV, 28 illus., schwarz-weiss Illustrationen
Verlag
Springer Fachmedien Wiesbaden GmbHSeitenzahl
424
Maße (L/B/H)
21/14.8/2.5 cm
Gewicht
575 g
Auflage
2015
Sprache
Englisch
ISBN
978-3-658-07258-2
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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