大葉大學圖書館 |

The use of risk budgets in portfolio optimization[electronic resource] /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	658.155
書名/作者:	The use of risk budgets in portfolio optimization/ by Albina Unger.
作者:	Unger, Albina.
出版者:	Wiesbaden : : Springer Fachmedien Wiesbaden :, 2015.
面頁冊數:	xxiv, 424 p. : : ill., digital ;; 24 cm.
Contained By:	Springer eBooks
標題:	Risk management.
標題:	Portfolio management.
標題:	Asset allocation.
標題:	Economics/Management Science.
標題:	Finance/Investment/Banking.
標題:	Financial Economics.
標題:	Management/Business for Professionals.
ISBN:	9783658072599 (electronic bk.)
ISBN:	9783658072582 (paper)
內容註:	Theoretical Background -- Alternative Approaches in Portfolio Management -- Minimum Risk Portfolios -- Risk Budgeting Portfolios -- Robustness -- Factor Models.
摘要、提要註:	Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk, Different Market Phases, Robustness, and Factor Exposures) to investigate the use of these models for asset allocation. Beside the risk budgeting models, alternatives of risk-based investment styles are also presented and examined. The results show that equalizing the risk across the assets does not prevent losses, especially in crisis periods and the performance can mainly be explained by exposures to known asset pricing factors. Thus, the advantages of these approaches compared to known minimum risk portfolios are doubtful. Contents Theoretical Background Alternative Approaches in Portfolio Management Minimum Risk Portfolios Risk Budgeting Portfolios Robustness Factor Models Target Groups Researchers and students in the field of economics with a focus on finance and financial economics Finance/investment professionals The Author Albina Unger holds a doctoral degree from the Faculty of Finance at the University of Bremen, Germany. She now works as a risk manager.
電子資源:	http://dx.doi.org/10.1007/978-3-658-07259-9

The use of risk budgets in portfolio optimization[electronic resource] /
Unger, Albina.

The use of risk budgets in portfolio optimization[electronic resource] /by Albina Unger. - Wiesbaden :Springer Fachmedien Wiesbaden :2015. - xxiv, 424 p. :ill., digital ;24 cm.

Theoretical Background -- Alternative Approaches in Portfolio Management -- Minimum Risk Portfolios -- Risk Budgeting Portfolios -- Robustness -- Factor Models.

Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk, Different Market Phases, Robustness, and Factor Exposures) to investigate the use of these models for asset allocation. Beside the risk budgeting models, alternatives of risk-based investment styles are also presented and examined. The results show that equalizing the risk across the assets does not prevent losses, especially in crisis periods and the performance can mainly be explained by exposures to known asset pricing factors. Thus, the advantages of these approaches compared to known minimum risk portfolios are doubtful. Contents Theoretical Background Alternative Approaches in Portfolio Management Minimum Risk Portfolios Risk Budgeting Portfolios Robustness Factor Models Target Groups Researchers and students in the field of economics with a focus on finance and financial economics Finance/investment professionals The Author Albina Unger holds a doctoral degree from the Faculty of Finance at the University of Bremen, Germany. She now works as a risk manager.

ISBN: 9783658072599 (electronic bk.)

Standard No.: 10.1007/978-3-658-07259-9doiSubjects--Topical Terms:

226935
Risk management.

LC Class. No.: HD61

Dewey Class. No.: 658.155

The use of risk budgets in portfolio optimization[electronic resource] /
LDR:02416nam a2200337 a 4500 001 424594
003 DE-He213
005 20150529145057.0
006 m d
007 cr nn 008maaau
008 151119s2015 gw s 0 eng d
020 $a 9783658072599 (electronic bk.)
020 $a 9783658072582 (paper)
024 7 $a 10.1007/978-3-658-07259-9 $2 doi
035 $a 978-3-658-07259-9
040 $a GP $c GP
041 0 $a eng
050 4 $a HD61
072 7 $a KFF $2 bicssc
072 7 $a KFFK $2 bicssc
072 7 $a BUS027000 $2 bisacsh
072 7 $a BUS004000 $2 bisacsh
082 0 4 $a 658.155 $2 23
090 $a HD61 $b .U57 2015
100 1 $a Unger, Albina. $3 602553
245 1 4 $a The use of risk budgets in portfolio optimization $h [electronic resource] / $c by Albina Unger.
260 $a Wiesbaden : $b Springer Fachmedien Wiesbaden : $b Imprint: Springer Gabler, $c 2015.
300 $a xxiv, 424 p. : $b ill., digital ; $c 24 cm.
505 0 $a Theoretical Background -- Alternative Approaches in Portfolio Management -- Minimum Risk Portfolios -- Risk Budgeting Portfolios -- Robustness -- Factor Models.
520 $a Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk, Different Market Phases, Robustness, and Factor Exposures) to investigate the use of these models for asset allocation. Beside the risk budgeting models, alternatives of risk-based investment styles are also presented and examined. The results show that equalizing the risk across the assets does not prevent losses, especially in crisis periods and the performance can mainly be explained by exposures to known asset pricing factors. Thus, the advantages of these approaches compared to known minimum risk portfolios are doubtful. Contents Theoretical Background Alternative Approaches in Portfolio Management Minimum Risk Portfolios Risk Budgeting Portfolios Robustness Factor Models Target Groups Researchers and students in the field of economics with a focus on finance and financial economics Finance/investment professionals The Author Albina Unger holds a doctoral degree from the Faculty of Finance at the University of Bremen, Germany. She now works as a risk manager.
650 0 $a Risk management. $3 226935
650 0 $a Portfolio management. $3 177532
650 0 $a Asset allocation. $3 180658
650 1 4 $a Economics/Management Science. $3 463465
650 2 4 $a Finance/Investment/Banking. $3 463670
650 2 4 $a Financial Economics. $3 463665
650 2 4 $a Management/Business for Professionals. $3 463950
710 2 $a SpringerLink (Online service) $3 463450
773 0 $t Springer eBooks
856 4 0 $u http://dx.doi.org/10.1007/978-3-658-07259-9
950 $a Business and Economics (Springer-11643)