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Introduction to risk parity and budgeting
Author
Title
Introduction to risk parity and budgeting / Thierry Roncalli.
ISBN
9781482207163
1482207168
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.
Format
Books / Online
Language
English
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.
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