Risk-Based Approaches to Asset Allocation

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Sprache: Englisch

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Beschreibung

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.

Über den Autor

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 (EURFPA).

Zusammenfassung

Includes supplementary material: [...]

Inhaltsverzeichnis

Introduction.- The Traditional Approach to Asset Allocation.- Risk-Based Approaches to Asset Allocation: The Case for Risk Parity.- The Different Risk-Based Approaches to Asset Allocation.- Application of the Risk-Based Approaches to Asset Allocation.- Appendix.

Erscheinungsjahr:	2015
Fachbereich:	Betriebswirtschaft
Genre:	Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Seiten:	108
Reihe:	SpringerBriefs in Finance
Inhalt:	viii 99 S. 18 s/w Illustr. 2 farbige Illustr. 99 p. 20 illus. 2 illus. in color.
ISBN-13:	9783319243801
ISBN-10:	3319243802
Sprache:	Englisch
Herstellernummer:	978-3-319-24380-1
Ausstattung / Beilage:	Paperback
Einband:	Kartoniert / Broschiert
Autor:	Braga, Maria Debora
Auflage:	1st ed. 2016
Hersteller:	Springer International Publishing Springer International Publishing AG SpringerBriefs in Finance
Maße:	235 x 155 x 7 mm
Von/Mit:	Maria Debora Braga
Erscheinungsdatum:	09.11.2015
Gewicht:	0,178 kg

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