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008 | 170213s2015 gw | s |||| 0|eng d | ||
020 |
_a9783658072599 _9978-3-658-07259-9 |
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024 | 7 |
_a10.1007/978-3-658-07259-9 _2doi |
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035 | _ato000561305 | ||
040 |
_aSpringer _cSpringer _dRU-ToGU |
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050 | 4 | _aHG1-HG9999 | |
072 | 7 |
_aKFF _2bicssc |
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072 | 7 |
_aBUS027000 _2bisacsh |
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082 | 0 | 4 |
_a332 _223 |
100 | 1 |
_aUnger, Albina. _eauthor. _9469002 |
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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. |
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300 |
_aXXIV, 424 p. 28 illus. _bonline resource. |
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336 |
_atext _btxt _2rdacontent |
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337 |
_acomputer _bc _2rdamedia |
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338 |
_aonline resource _bcr _2rdacarrier |
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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 |
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650 | 0 |
_aManagement. _9132629 |
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650 | 0 |
_aMacroeconomics. _9134212 |
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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 |
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773 | 0 | _tSpringer eBooks | |
856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-3-658-07259-9 |
912 | _aZDB-2-SBE | ||
999 | _c416182 |