語系:
繁體中文
English
說明(常見問題)
登入
回首頁
切換:
標籤
|
MARC模式
|
ISBD
The use of risk budgets in portfolio...
~
SpringerLink (Online service)
The use of risk budgets in portfolio optimization
紀錄類型:
書目-語言資料,印刷品 : Monograph/item
正題名/作者:
The use of risk budgets in portfolio optimization/ by Albina Unger.
作者:
Unger, Albina.
出版者:
Wiesbaden :Springer Fachmedien Wiesbaden : : 2015.,
面頁冊數:
xxiv, 424 p. :ill., digital ; : 24 cm.;
Contained By:
Springer eBooks
標題:
Risk management. -
電子資源:
http://dx.doi.org/10.1007/978-3-658-07259-9
ISBN:
9783658072599 (electronic bk.)
The use of risk budgets in portfolio optimization
Unger, Albina.
The use of risk budgets in portfolio optimization
[electronic resource] /by Albina Unger. - Wiesbaden :Springer Fachmedien Wiesbaden :2015. - xxiv, 424 p. :ill., digital ;24 cm.
Theoretical Background -- Alternative Approaches in Portfolio Management -- Minimum Risk Portfolios -- Risk Budgeting Portfolios -- Robustness -- Factor Models.
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.
ISBN: 9783658072599 (electronic bk.)
Standard No.: 10.1007/978-3-658-07259-9doiSubjects--Topical Terms:
559158
Risk management.
LC Class. No.: HD61
Dewey Class. No.: 658.155
The use of risk budgets in portfolio optimization
LDR
:02416nam a2200337 a 4500
001
834296
003
DE-He213
005
20150529145057.0
006
m d
007
cr nn 008maaau
008
160421s2015 gw s 0 eng d
020
$a
9783658072599 (electronic bk.)
020
$a
9783658072582 (paper)
024
7
$a
10.1007/978-3-658-07259-9
$2
doi
035
$a
978-3-658-07259-9
040
$a
GP
$c
GP
041
0
$a
eng
050
4
$a
HD61
072
7
$a
KFF
$2
bicssc
072
7
$a
KFFK
$2
bicssc
072
7
$a
BUS027000
$2
bisacsh
072
7
$a
BUS004000
$2
bisacsh
082
0 4
$a
658.155
$2
23
090
$a
HD61
$b
.U57 2015
100
1
$a
Unger, Albina.
$3
1062642
245
1 4
$a
The use of risk budgets in portfolio optimization
$h
[electronic resource] /
$c
by Albina Unger.
260
$a
Wiesbaden :
$b
Springer Fachmedien Wiesbaden :
$b
Imprint: Springer Gabler,
$c
2015.
300
$a
xxiv, 424 p. :
$b
ill., digital ;
$c
24 cm.
505
0
$a
Theoretical Background -- Alternative Approaches in Portfolio Management -- Minimum Risk Portfolios -- Risk Budgeting Portfolios -- Robustness -- Factor Models.
520
$a
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.
650
0
$a
Risk management.
$3
559158
650
0
$a
Portfolio management.
$3
557690
650
0
$a
Asset allocation.
$3
564730
650
1 4
$a
Economics/Management Science.
$3
669170
650
2 4
$a
Finance/Investment/Banking.
$3
785040
650
2 4
$a
Financial Economics.
$3
669216
650
2 4
$a
Management/Business for Professionals.
$3
680857
710
2
$a
SpringerLink (Online service)
$3
593884
773
0
$t
Springer eBooks
856
4 0
$u
http://dx.doi.org/10.1007/978-3-658-07259-9
950
$a
Business and Economics (Springer-11643)
筆 0 讀者評論
多媒體
評論
新增評論
分享你的心得
Export
取書館別
處理中
...
變更密碼[密碼必須為2種組合(英文和數字)及長度為10碼以上]
登入