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The Resource Introduction to risk parity and budgeting, Thierry Roncalli

Introduction to risk parity and budgeting, Thierry Roncalli

Creator
Summary
"Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of long-term investment policies. Written by a well-known expert of asset management and risk parity, Introduction to Risk Parity and Budgeting provides an up-to-date treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy. The first part of the book gives a theoretical account of portfolio optimization and risk parity. The author discusses modern portfolio theory and offers a comprehensive guide to risk budgeting. Each chapter in the second part presents an application of risk parity to a specific asset class. The text covers risk-based equity indexation (also called smart beta) and shows how to use risk budgeting techniques to manage bond portfolios. It also explores alternative investments, such as commodities and hedge funds, and applies risk parity techniques to multi-asset classes. The book's first appendix provides technical materials on optimization problems, copula functions, and dynamic asset allocation. The second appendix contains 30 tutorial exercises. Solutions to the exercises, slides for instructors, and Gauss computer programs to reproduce the book's examples, tables, and figures are available on the author's website"--provided by publisher
Language
eng
Work
Publication
Extent
xxiii, 410 pages
Isbn
9781482207156
Instance
Label
Introduction to risk parity and budgeting
Title
Introduction to risk parity and budgeting
Statement of responsibility
Thierry Roncalli
Creator
Subject
Language
eng
Summary
"Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of long-term investment policies. Written by a well-known expert of asset management and risk parity, Introduction to Risk Parity and Budgeting provides an up-to-date treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy. The first part of the book gives a theoretical account of portfolio optimization and risk parity. The author discusses modern portfolio theory and offers a comprehensive guide to risk budgeting. Each chapter in the second part presents an application of risk parity to a specific asset class. The text covers risk-based equity indexation (also called smart beta) and shows how to use risk budgeting techniques to manage bond portfolios. It also explores alternative investments, such as commodities and hedge funds, and applies risk parity techniques to multi-asset classes. The book's first appendix provides technical materials on optimization problems, copula functions, and dynamic asset allocation. The second appendix contains 30 tutorial exercises. Solutions to the exercises, slides for instructors, and Gauss computer programs to reproduce the book's examples, tables, and figures are available on the author's website"--provided by publisher
Member of
Cataloging source
DLC
http://library.link/vocab/creatorName
Roncalli, Thierry
Dewey number
332.601
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
Series statement
Chapman & Hall/CRC financial mathematics series
http://library.link/vocab/subjectName
  • Portfolio management
  • Risk management
  • Budget
Label
Introduction to risk parity and budgeting, Thierry Roncalli
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 377-398) and index
Carrier category
volume
Carrier MARC source
rdacarrier.
Content category
text
Content type MARC source
rdacontent.
Control code
FIEb17449790
Dimensions
24 cm.
Extent
xxiii, 410 pages
Isbn
9781482207156
Media category
unmediated
Media MARC source
rdamedia.
Other physical details
illustrations
System control number
(OCoLC)832277603
Label
Introduction to risk parity and budgeting, Thierry Roncalli
Publication
Bibliography note
Includes bibliographical references (pages 377-398) and index
Carrier category
volume
Carrier MARC source
rdacarrier.
Content category
text
Content type MARC source
rdacontent.
Control code
FIEb17449790
Dimensions
24 cm.
Extent
xxiii, 410 pages
Isbn
9781482207156
Media category
unmediated
Media MARC source
rdamedia.
Other physical details
illustrations
System control number
(OCoLC)832277603

Subject

Member of

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