EAN: 9783658072582

Bilder-Quelle: discount24.de - Sport-Freizeit

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.

Produktinformationen zuletzt aktualisiert am
20.03.2025 um 04:18 Uhr

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