Introduction to risk parity and budgeting
 Responsibility
 Thierry Roncalli.
 Language
 English.
 Publication
 Boca Raton : Taylor & Francis, [2014]
 Physical description
 xxiii, 410 pages : illustrations ; 25 cm.
 Series
 Chapman & Hall/CRC financial mathematics series.
Access
Available online
Math & Statistics Library
Stacks
Call number  Status 

HG4529.5 .R656 2014  Unknown 
More options
Creators/Contributors
 Author/Creator
 Roncalli, Thierry.
Contents/Summary
 Bibliography
 Includes bibliographical references (pages 377398) and index.
 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 RiskBased Indexation Capitalizationweighted indexation Alternativeweighted 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 MultiAsset Classes Construction of diversified funds Longterm investment policy Absolute return and active risk parity Conclusion Appendix A Technical Appendix Appendix B Tutorial Exercises Bibliography Index.
 (source: Nielsen Book Data)
 Publisher's Summary
 Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of longterm investment policies. Written by a wellknown expert of asset management and risk parity, Introduction to Risk Parity and Budgeting provides an uptodate treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs longterm investment policy. The first part of the book gives a theoretical account of portfolio optimization and risk parity. The author discusses modern portfolio theory and offers a comprehensive guide to risk budgeting. Each chapter in the second part presents an application of risk parity to a specific asset class. The text covers riskbased equity indexation (also called smart beta) and shows how to use risk budgeting techniques to manage bond portfolios. It also explores alternative investments, such as commodities and hedge funds, and applies risk parity techniques to multiasset classes. The book's first appendix provides technical materials on optimization problems, copula functions, and dynamic asset allocation. The second appendix contains 30 tutorial exercises. Solutions to the exercises, slides for instructors, and Gauss computer programs to reproduce the book's examples, tables, and figures are available on the author's website.
(source: Nielsen Book Data)
Subjects
Bibliographic information
 Publication date
 2014
 Series
 Chapman & Hall/CRC financial mathematics series
 ISBN
 9781482207156 (hardcover : alk. paper)
 148220715X (hardcover : alk. paper)