Use of risk budget in portfolia optimization (Record no. 8148)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01579nam a2200253Ia 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250714153942.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 220909b |||||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9783658072582 |
| 037 ## - SOURCE OF ACQUISITION | |
| Terms of availability | Textual |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | CSL |
| Language of cataloging | eng |
| Transcribing agency | CSL |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | eng |
| 084 ## - COLON CLASSIFICATION NUMBER | |
| Classification number | B2T0bX:8D Q5 |
| Assigning agency | CSL |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Unger, Albina |
| Relator term | author |
| 9 (RLIN) | 815559 |
| 245 #0 - TITLE STATEMENT | |
| Title | Use of risk budget in portfolia optimization |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Place of publication, distribution, etc. | Germany : |
| Name of publisher, distributor, etc. | Springer Gabler, |
| Date of publication, distribution, etc. | 2015. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | xxiv, 424p. |
| Other physical details | : ill. |
| 500 ## - GENERAL NOTE | |
| General note | appendix 371-390p.; Bibliography 391-424p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | 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. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Empirical studies |
| 9 (RLIN) | 815560 |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Theoretical |
| 9 (RLIN) | 815561 |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Robustness |
| 9 (RLIN) | 815562 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Classification part | B2T0bX:8D Q5 |
| Koha item type | Textual |
| Source of classification or shelving scheme | Colon Classification (CC) |
| Suppress in OPAC | No |
| Withdrawn status | Lost status | Damaged status | Not for loan | Home library | Current library | Date acquired | Source of acquisition | Cost, normal purchase price | Total Checkouts | Full call number | Barcode | Date last seen | Cost, replacement price | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Central Science Library | Central Science Library | 2022-09-12 | 217, 10/03/2015, Vardhman Books | 4.00 | B2T0bX:8D Q5 | SL1598015 | 2022-09-12 | 4.00 | 2022-09-12 | Textual |