Introduction to Risk Parity and Budgeting - Thierry Roncalli

Introduction to Risk Parity and Budgeting
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Autor: Thierry Roncalli

 Wydawnictwo: CRC Press Inc.
ISBN: 9781482207156
EAN:
Format: ...
Oprawa: twarda
Stron: 440
Data wydania: 2013-08-01
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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 techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of long-term investment policies. Written by a well-known expert of asset management and risk parity, Introduction to Risk Parity and Budgeting provides an up-to-date treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy. The first part of the book gives a theoretical account of portfolio optimization and risk parity. The author discusses modern portfolio theory and offers a comprehensive guide to risk budgeting. Each chapter in the second part presents an application of risk parity to a specific asset class. The text covers risk-based equity indexation (also called smart beta) and shows how to use risk budgeting techniques to manage bond portfolios. It also explores alternative investments, such as commodities and hedge funds, and applies risk parity techniques to multi-asset classes. The book's first appendix provides technical materials on optimization problems, copula functions, and dynamic asset allocation. The second appendix contains 30 tutorial exercises. Solutions to the exercises, slides for instructors, and Gauss computer programs to reproduce the book's examples, tables, and figures are available on the author's website. "Thierry Roncalli's book situates the risk parity approach, which has become very popular with investors and managers, in a broader conceptual and technical context, which is that of risk budgeting. This publication is a must for investors who wish to gain serious insight into risk allocation issues." -Noel Amenc, Professor of Finance, EDHEC Business School; Director, EDHEC-Risk Institute; and CEO, ERI Scientific Beta "A mathematical tour de force of the paradigm shift in portfolio orchestration where the risk section plays bold notes to temper the return section, in a melodious harmony reflecting new trends in investment practice. A most current and comprehensive quantitative exposition of the evolution of modern portfolio theory, from mean-variance to risk parity methods, this book fills an important need for academics and practitioners who are looking for an up-to-date technical exposition of the art and science of portfolio construction." -Sanjiv Ranjan Das, William and Janice Terry Professor of Finance, Santa Clara University "Professor Roncalli's masterful treatment on the subjects of risk parity investing and risk budgeting represents a significant contribution to the rapidly emerging literature on risk parity. This text provides an academically rigorous yet intuitive and understandable introduction to important topics like risk-based equity and fixed-income portfolio construction as well as asset allocation. The book surveys and pulls from seminar papers as well as frontier research in the risk parity field and provides a balanced and application-oriented discussion on the important nuances. This book is highly recommended for finance industry practitioners as well as students of financial engineering." -Jason Hsu, UCLA Anderson School of Management "Roncalli has written an excellent and balanced exposition of the risk parity approach to investing. This is very valuable reading for quant analysts and for technically oriented porfolio managers and asset allocators interested in this hot topic. The book covers everything from basic mechanics to advanced techniques and from the broad context of risk parity.

Książka "Introduction to Risk Parity and Budgeting"
Thierry Roncalli