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The Use of Risk Budgets in Portfolio Optimization / / by Albina Unger



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Autore: Unger Albina Visualizza persona
Titolo: The Use of Risk Budgets in Portfolio Optimization / / by Albina Unger Visualizza cluster
Pubblicazione: Wiesbaden : , : Springer Fachmedien Wiesbaden : , : Imprint : Springer Gabler, , 2015
Edizione: 1st ed. 2015.
Descrizione fisica: 1 online resource (443 p.)
Disciplina: 330
332
650
657.8333
Soggetto topico: Finance
Macroeconomics
Management
Finance, general
Macroeconomics/Monetary Economics//Financial Economics
Note generali: Description based upon print version of record.
Nota di bibliografia: Includes bibliographical references.
Nota di contenuto: Theoretical Background -- Alternative Approaches in Portfolio Management -- Minimum Risk Portfolios -- Risk Budgeting Portfolios -- Robustness -- Factor Models.
Sommario/riassunto: 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.  Contents Theoretical Background Alternative Approaches in Portfolio Management Minimum Risk Portfolios Risk Budgeting Portfolios Robustness Factor Models  Target Groups Researchers and students in the field of economics with a focus on finance and financial economics Finance/investment professionals  The Author Albina Unger holds a doctoral degree from the Faculty of Finance at the University of Bremen, Germany. She now works as a risk manager.
Titolo autorizzato: The Use of Risk Budgets in Portfolio Optimization  Visualizza cluster
ISBN: 3-658-07259-8
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910298508203321
Lo trovi qui: Univ. Federico II
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