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The Use of Risk Budgets in Portfolio Optimization

  • Book
  • © 2015

Overview

Authors:
  1. Albina Unger

    1. Friedrichsdorf, Germany

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  • Publication in the field of economic sciences

  • Includes supplementary material: sn.pub/extras

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Table of contents (8 chapters)

  1. Front Matter

    Pages I-XXIV
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  2. Introduction

    • Albina Unger
    Pages 1-9

  3. Theoretical Background

    • Albina Unger
    Pages 11-52

  4. Alternative Approaches in Portfolio Management

    • Albina Unger
    Pages 53-106

  5. Literature Review

    • Albina Unger
    Pages 107-145

  6. Robustness

    • Albina Unger
    Pages 147-158

  7. Empirical Studies

    • Albina Unger
    Pages 159-320

  8. Extensions of Empirical Studies

    • Albina Unger
    Pages 321-362

  9. Conclusion

    • Albina Unger
    Pages 363-369

  10. Back Matter

    Pages 371-424
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Keywords

About this book

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.

Authors and Affiliations

  • Friedrichsdorf, Germany

    Albina Unger

About 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.

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