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- Includes supplementary material: sn.pub/extras
Part of the book series: SpringerBriefs in Finance (BRIEFSFINANCE)
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Table of contents (5 chapters)
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Front Matter
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Back Matter
About this book
This book focuses on the concepts and applications of risk-based asset allocation. Markowitz’s traditional approach to asset allocation suffers from serious drawbacks when implemented. These mainly arise from the estimation risk associated with the necessary input the most critical being expected returns. With the financial crisis, there has been an increasing interest in asset allocation approaches that don’t need expected returns as input, known as risk-based approaches. The book provides an analysis of the different solutions that fit this description: the equal-weighting approach, the global minimum-variance approach, the most diversified portfolio approach and the risk parity approach. In addition to a theoretical discussion of these, it presents practical applications in different investment environments. Three different evaluation dimensions are considered to put these approaches to the test: financial efficiency, diversification and portfolio stability.
Authors and Affiliations
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Banking and Insurance Department, Bocconi School of Management, Milan, Italy
Maria Debora Braga
About the author
Maria Debora Braga is Full Professor of Financial Markets and Institutions. She teaches at University of Valle d’Aosta and at SDA Bocconi School of Management. She received her Ph.D in Banking and Finance from Bocconi University and the M.Sc. in Business Administration from the University of Parma. She was Visiting Scholar at the University of London (Birkbeck College) during her Ph.D. and recently she has been Visiting Researcher at Cass Business School (City University London). She is a member of the Italian Scientific Committee of the European Financial Planning Association (€FPA).Â
Bibliographic Information
Book Title: Risk-Based Approaches to Asset Allocation
Book Subtitle: Concepts and Practical Applications
Authors: Maria Debora Braga
Series Title: SpringerBriefs in Finance
DOI: https://doi.org/10.1007/978-3-319-24382-5
Publisher: Springer Cham
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: The Author(s) 2016
Softcover ISBN: 978-3-319-24380-1Published: 09 November 2015
eBook ISBN: 978-3-319-24382-5Published: 10 December 2015
Series ISSN: 2193-1720
Series E-ISSN: 2193-1739
Edition Number: 1
Number of Pages: VIII, 99
Number of Illustrations: 18 b/w illustrations, 2 illustrations in colour
Topics: Finance, general, Macroeconomics/Monetary Economics//Financial Economics, Management