The Use of Risk Budgets in Portfolio Optimization

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The Use of Risk Budgets in Portfolio Optimization

UNGER, Albina - Personal Name;

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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Series Title: -
Call Number: -
Publisher: : ., 2014
Collation: -
Language: English
ISBN/ISSN: 978-3-658-07259-9
Classification: NONE
Content Type: -
Media Type: computer
Carrier Type: online resource
Edition: -
Subject(s): Management
Financial Economics
Macroeconomics and Monetary Economics
Specific Detail Info: -
Statement of Responsibility: Albina Unger

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Cataloger: Yd
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The Use of Risk Budgets in Portfolio Optimization

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