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Introduction to Risk Parity and Budgeting

Authors: Thierry Roncalli
Categories: Business & Economics
Type: BOOK - Published: 2016-04-19 - Publisher: CRC Press

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Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniqu
The Use of Risk Budgets in Portfolio Optimization
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The Use of Risk Budgets in Portfolio Optimization

Authors: Albina Unger
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The Use of Risk Budgets in Portfolio Optimization
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The Use of Risk Budgets in Portfolio Optimization

Authors: Albina Unger
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Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger exa
Probabilistic Constrained Optimization
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Probabilistic Constrained Optimization

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Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environ
Efficient Asset Management
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Efficient Asset Management

Authors: Richard O. Michaud
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In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, a