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Introduction to risk parity and budgeting /
| Autor principal: | |
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| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Place of publication not identified] :
Chapman and Hall/CRC,
2016.
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| Colección: | Chapman & Hall/CRC financial mathematics series
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| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
Tabla de Contenidos:
- From Portfolio Optimization to Risk Parity; Modern Portfolio Theory; From optimized portfolios to the market portfolio; Practice of portfolio optimization Risk Budgeting Approach; Risk allocation principle; Analysis of risk budgeting portfolios; Special case: the ERC portfolio; Risk budgeting versus weight budgeting; Using risk factors instead of assets Applications of the Risk Parity Approach; Risk-Based Indexation; Capitalization-weighted indexation; Alternative-weighted indexation; Some illustrations Application to Bond Portfolios; Some issues in bond management; Bond portfolio management; Some illustrations Risk Parity Applied to Alternative Investments; Case of commodities; Hedge fund strategies Portfolio Allocation with Multi-Asset Classes; Construction of diversified funds; Long-term investment policy; Absolute return and active risk parity Conclusion Appendix A Technical Appendix; Appendix B Tutorial Exercises Bibliography Index.