Title
Introduction to risk parity and budgeting / Thierry Roncalli.
Publication
[Place of publication not identified] : Chapman and Hall/CRC, 2016.
Physical Description
1 online resource : illustrations.
Local Notes
Access is available to the Yale community.
Access and use
Access restricted by licensing agreement.
Variant and related titles
O'Reilly Safari. OCLC KB.
Added to Catalog
December 09, 2020
Series
Chapman & Hall/CRC financial mathematics series
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.