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The Use of Risk Budgets in Portfolio Optimization

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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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Publisher

Springer Fachmedien Wiesbaden : ., 2015

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Language

English

ISBN/ISSN

978-3-658-07259-9

Classification

NONE

Content Type

text

Media Type

computer

Carrier Type

online resource

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Subject(s)

Management
Finance
general

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Statement of Responsibility

Albina Unger

Other Information

Cataloger

Yudi

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Digital Object Identifier (DOI)

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