The Use of Risk Budgets in Portfolio Optimization
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, Differen...
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| Ngôn ngữ: | English |
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Springer
2015
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| Truy cập trực tuyến: | https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/59374 |
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oai:scholar.dlu.edu.vn:DLU123456789-593742023-11-11T06:36:56Z The Use of Risk Budgets in Portfolio Optimization Unger, Albina Asset allocation Portfolio management Risk management 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. 2015-12-09T09:06:07Z 2015-12-09T09:06:07Z 2015 Book 978-3-658-07259-9 978-3-658-07258-2 https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/59374 en application/pdf Springer |
| institution |
Thư viện Trường Đại học Đà Lạt |
| collection |
Thư viện số |
| language |
English |
| topic |
Asset allocation Portfolio management Risk management |
| spellingShingle |
Asset allocation Portfolio management Risk management Unger, Albina The Use of Risk Budgets in Portfolio Optimization |
| 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. |
| format |
Book |
| author |
Unger, Albina |
| author_facet |
Unger, Albina |
| author_sort |
Unger, Albina |
| title |
The Use of Risk Budgets in Portfolio Optimization |
| title_short |
The Use of Risk Budgets in Portfolio Optimization |
| title_full |
The Use of Risk Budgets in Portfolio Optimization |
| title_fullStr |
The Use of Risk Budgets in Portfolio Optimization |
| title_full_unstemmed |
The Use of Risk Budgets in Portfolio Optimization |
| title_sort |
use of risk budgets in portfolio optimization |
| publisher |
Springer |
| publishDate |
2015 |
| url |
https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/59374 |
| _version_ |
1819798881250050048 |