Introduction to risk parity and budgeting. (2016)

• Record Type: Book
• Further Information: Note: Thierry Roncalli.
• Other Names: Roncalli, Thierry
• 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; Risk-Based Indexation; Capitalization-weighted indexation; Alternative-weighted 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 Multi-Asset Classes; Construction of diversified funds; Long-term investment policy; Absolute return and active risk parity Conclusion Appendix A Technical Appendix; Appendix B Tutorial Exercises Bibliography Index
• Publisher Details: Place of publication not identified : Chapman and Hall/CRC
• Publication Date: 2016
• Extent: 1 online resource, illustrations
• Subjects: 332.601; Portfolio management; Risk management; Budget
• Languages: English
• ISBNs: 9781482207163; 1482207168
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.