Introduction to risk parity and budgeting / by Thierry Roncalli.

Format:

Book

Author/Creator:

Roncalli, Thierry, author.

Series:

Chapman & Hall/CRC financial mathematics series.

Chapman and Hall/CRC Financial Mathematics Series

Chapman & Hall Book

Language:

English

Subjects (All):

Portfolio management.

Risk management.

Budget.

Physical Description:

1 online resource (430 pages) : illustrations.

Edition:

1st edition

Place of Publication:

Boca Raton, FL : Chapman and Hall/CRC, an imprint of Taylor and Francis, 2013.

Language Note:

English

System Details:

text file

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.

Contents:

part Part I From Portfolio Optimization to Risk Parity

chapter 1 Modern Portfolio Theory

chapter 2 Risk Budgeting Approach

part Part II Applications of the Risk Parity Approach

chapter 3 Risk-Based Indexation

chapter 4 Application to Bond Portfolios

chapter 5 Risk Parity Applied to Alternative Investments

chapter 6 Portfolio Allocation with Multi-Asset Classes.

Notes:

"A Chapman & Hall Book."

Includes bibliographical references.

Description based on print version record.

ISBN:

9781040074459

1040074456

9780429171307

0429171307

9781482207156

148220715X

OCLC:

832277603