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The Resource The Use of Risk Budgets in Portfolio Optimization, by Albina Unger, (electronic resource)

The Use of Risk Budgets in Portfolio Optimization, by Albina Unger, (electronic resource)

Label
The Use of Risk Budgets in Portfolio Optimization
Title
The Use of Risk Budgets in Portfolio Optimization
Statement of responsibility
by Albina Unger
Creator
Author
Subject
Language
eng
Summary
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.--
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Unger, Albina
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
R07BxaJF_8U
Literary form
non fiction
Nature of contents
dictionaries
Series statement
  • Springer eBooks
  • Springer eBooks.
http://library.link/vocab/subjectName
  • Finance
  • Macroeconomics
  • Management
Label
The Use of Risk Budgets in Portfolio Optimization, by Albina Unger, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=https://doi.org/10.1007/978-3-658-07259-9
Instantiates
Publication
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Theoretical Background -- Alternative Approaches in Portfolio Management -- Minimum Risk Portfolios -- Risk Budgeting Portfolios -- Robustness -- Factor Models
Control code
978-3-658-07259-9
Dimensions
unknown
Extent
1 online resource (XXIV, 424 pages)
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783658072599
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
28 illustrations
Specific material designation
remote
System control number
(OCoLC)1026432931
Label
The Use of Risk Budgets in Portfolio Optimization, by Albina Unger, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=https://doi.org/10.1007/978-3-658-07259-9
Publication
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Theoretical Background -- Alternative Approaches in Portfolio Management -- Minimum Risk Portfolios -- Risk Budgeting Portfolios -- Robustness -- Factor Models
Control code
978-3-658-07259-9
Dimensions
unknown
Extent
1 online resource (XXIV, 424 pages)
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783658072599
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
28 illustrations
Specific material designation
remote
System control number
(OCoLC)1026432931

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