000			01579nam a2200253Ia 4500
003			OSt
005			20250714153942.0
008			220909b |||||||| |||| 00| 0 eng d
020			_a9783658072582
037			_cTextual
040			_aCSL _beng _cCSL
041			_aeng
084			_aB2T0bX:8D Q5 _qCSL
100			_aUnger, Albina _eauthor _9815559
245		0	_aUse of risk budget in portfolia optimization
260			_aGermany : _bSpringer Gabler, _c2015.
300			_axxiv, 424p. _b: ill.
500			_aappendix 371-390p.; Bibliography 391-424p.
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.
650			_a Empirical studies _9815560
650			_a Theoretical _9815561
650			_aRobustness _9815562
942			_hB2T0bX:8D Q5 _cTEXL _2CC _n0
999			_c8148 _d8148