The Use of Risk Budgets in Portfolio Optimization

• Main Author: Unger, Albina (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2015.
• Subjects: Finance.; Management.; Macroeconomics.; Finance, general.; Macroeconomics/Monetary Economics//Financial Economics.

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...

Table of Contents:

• Theoretical Background
• Alternative Approaches in Portfolio Management
• Minimum Risk Portfolios
• Risk Budgeting Portfolios
• Robustness
• Factor Models.