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008 170213s2015 gw | s |||| 0|eng d
020 _a9783658072599
_9978-3-658-07259-9
024 7 _a10.1007/978-3-658-07259-9
_2doi
035 _ato000561305
040 _aSpringer
_cSpringer
_dRU-ToGU
050 4 _aHG1-HG9999
072 7 _aKFF
_2bicssc
072 7 _aBUS027000
_2bisacsh
082 0 4 _a332
_223
100 1 _aUnger, Albina.
_eauthor.
_9469002
245 1 4 _aThe Use of Risk Budgets in Portfolio Optimization
_helectronic resource
_cby Albina Unger.
260 _aWiesbaden :
_bSpringer Fachmedien Wiesbaden :
_bImprint: Springer Gabler,
_c2015.
300 _aXXIV, 424 p. 28 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
505 0 _aTheoretical Background -- Alternative Approaches in Portfolio Management -- Minimum Risk Portfolios -- Risk Budgeting Portfolios -- Robustness -- Factor Models.
520 _aRisk 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 _aFinance.
_9142509
650 0 _aManagement.
_9132629
650 0 _aMacroeconomics.
_9134212
650 1 4 _aFinance.
_9142509
650 2 4 _aFinance, general.
_9460231
650 2 4 _aMacroeconomics/Monetary Economics//Financial Economics.
_9461499
650 2 4 _aManagement.
_9132629
710 2 _aSpringerLink (Online service)
_9143950
773 0 _tSpringer eBooks
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-658-07259-9
912 _aZDB-2-SBE
999 _c416182