Introduction to risk parity and budgeting
Main Author: | |
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Format: | eBook |
Language: | English |
Published: |
[Place of publication not identified]
Chapman and Hall/CRC
2016
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Series: | Chapman & Hall/CRC financial mathematics series
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Subjects: | |
Online Access: | |
Collection: | O'Reilly - Collection details see MPG.ReNa |
Table of Contents:
- 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