ENGLISH

The Use of Risk Budgets in Portfolio Optimization

By Albina Unger (auth.)

Book information

Publisher
Gabler Verlag
Year
2015
ISBN
978-3-658-07258-2, 978-3-658-07259-9
DOI
10.1007/978-3-658-07259-9
Language
english
Format
PDF
Filesize
4 MB (4660974 bytes)
Edition
1
Pages
424\443
Time added
2014-11-10 20:00:00
Finance/Investment/Banking; Financial Economics; M

Description

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.

Similar books