Holdings: The Use of Risk Budgets in Portfolio Optimization

The Use of Risk Budgets in Portfolio Optimization:

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Bibliographic Details
Main Author:	Unger, Albina (Author)
Format:	Thesis Electronic eBook
Language:	English
Published:	Wiesbaden Springer Fachmedien Wiesbaden 2015
Subjects:	Wirtschaft Economics Finance Industrial management Risikomanagement Portfolio Selection Hochschulschrift
Online Access:	BTU01 FAB01 FAW01 FHA01 FHI01 FHM01 FHN01 FHO01 FHR01 FKE01 FLA01 FNU01 FRO01 FWS01 FWS02 HWR01 UBG01 UBT01 UBY01 UEI01 UPA01 Volltext Inhaltsverzeichnis Abstract
Physical Description:	1 Online-Ressource (XXIV, 424 p. 28 illus)
ISBN:	9783658072599
DOI:	10.1007/978-3-658-07259-9

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adam_text	THE USE OF RISK BUDGETS IN PORTFOLIO OPTIMIZATION / UNGER, ALBINA : 2015 TABLE OF CONTENTS / INHALTSVERZEICHNIS THEORETICAL BACKGROUND ALTERNATIVE APPROACHES IN PORTFOLIO MANAGEMENT MINIMUM RISK PORTFOLIOS RISK BUDGETING PORTFOLIOS ROBUSTNESS FACTOR MODELS DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT. THE USE OF RISK BUDGETS IN PORTFOLIO OPTIMIZATION / UNGER, ALBINA : 2015 ABSTRACT / INHALTSTEXT 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. CONTENTS THEORETICAL BACKGROUND ALTERNATIVE APPROACHES IN PORTFOLIO MANAGEMENT MINIMUM RISK PORTFOLIOS RISK BUDGETING PORTFOLIOS ROBUSTNESS FACTOR MODELS TARGET GROUPS RESEARCHERS AND STUDENTS IN THE FIELD OF ECONOMICS WITH A FOCUS ON FINANCE AND FINANCIAL ECONOMICS FINANCE/INVESTMENT PROFESSIONALS 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 DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
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isbn	9783658072599
language	English
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-027725991
oclc_num	892079937
open_access_boolean
owner	DE-473 DE-BY-UBG DE-739 DE-92 DE-2070s DE-703 DE-634 DE-Aug4 DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-859 DE-1043 DE-1046 DE-M347 DE-573 DE-1049 DE-824 DE-860 DE-898 DE-BY-UBR DE-861 DE-1051 DE-706
owner_facet	DE-473 DE-BY-UBG DE-739 DE-92 DE-2070s DE-703 DE-634 DE-Aug4 DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-859 DE-1043 DE-1046 DE-M347 DE-573 DE-1049 DE-824 DE-860 DE-898 DE-BY-UBR DE-861 DE-1051 DE-706
physical	1 Online-Ressource (XXIV, 424 p. 28 illus)
psigel	ZDB-2-SBE
publishDate	2015
publishDateSearch	2015
publishDateSort	2015
publisher	Springer Fachmedien Wiesbaden
record_format	marc
spellingShingle	Unger, Albina The Use of Risk Budgets in Portfolio Optimization Wirtschaft Economics Finance Industrial management Risikomanagement (DE-588)4121590-4 gnd Portfolio Selection (DE-588)4046834-3 gnd
subject_GND	(DE-588)4121590-4 (DE-588)4046834-3 (DE-588)4113937-9
title	The Use of Risk Budgets in Portfolio Optimization
title_auth	The Use of Risk Budgets in Portfolio Optimization
title_exact_search	The Use of Risk Budgets in Portfolio Optimization
title_full	The Use of Risk Budgets in Portfolio Optimization Albina Unger
title_fullStr	The Use of Risk Budgets in Portfolio Optimization Albina Unger
title_full_unstemmed	The Use of Risk Budgets in Portfolio Optimization Albina Unger
title_short	The Use of Risk Budgets in Portfolio Optimization
title_sort	the use of risk budgets in portfolio optimization
topic	Wirtschaft Economics Finance Industrial management Risikomanagement (DE-588)4121590-4 gnd Portfolio Selection (DE-588)4046834-3 gnd
topic_facet	Wirtschaft Economics Finance Industrial management Risikomanagement Portfolio Selection Hochschulschrift
url	https://doi.org/10.1007/978-3-658-07259-9 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027725991&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027725991&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT ungeralbina theuseofriskbudgetsinportfoliooptimization

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