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OverviewRisk 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. Full Product DetailsAuthor: Albina UngerPublisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Imprint: Springer Gabler Edition: 2015 ed. Dimensions: Width: 14.80cm , Height: 2.50cm , Length: 21.00cm Weight: 5.743kg ISBN: 9783658072582ISBN 10: 365807258 Pages: 424 Publication Date: 22 September 2014 Audience: Professional and scholarly , Professional & Vocational Format: Paperback Publisher's Status: Active Availability: Manufactured on demand  We will order this item for you from a manufactured on demand supplier. Table of ContentsTheoretical Background.- Alternative Approaches in Portfolio Management.- Minimum Risk Portfolios.- Risk Budgeting Portfolios.- Robustness.- Factor Models.ReviewsAuthor InformationAlbina Unger holds a doctoral degree from the Faculty of Finance at the University of Bremen, Germany. She now works as a risk manager. Tab Content 6Author Website:Countries AvailableAll regions |
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