Thierry Roncalli

Introduction to Risk Parity and Budgeting (eBook, PDF)

• Format: PDF

Produktbeschreibung

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 fina

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Produktdetails

• Verlag: Taylor & Francis
• Seitenzahl: 440
• Erscheinungstermin: 19. April 2016
• Englisch
• ISBN-13: 9781482207163
• Artikelnr.: 56962769

Autorenporträt

Thierry Roncalli is head of Research and Development and a member of the executive committee at Lyxor Asset Management. He is also a professor of economics and finance at the Universite d'Evry-Val-d'Essonne. Dr. Roncalli has 17 years of experience in finance and is the author of many articles and several books in quantitative finance. He received a Ph.D. in economics from the University of Bordeaux.

Inhaltsangabe

From Portfolio Optimization to Risk Parity: Modern Portfolio Theory. Risk
Budgeting Approach. Applications of the Risk Parity Approach: Risk-Based
Indexation. Application to Bond Portfolios. Risk Parity Applied to
Alternative Investments. Portfolio Allocation with Multi-Asset Classes.
Conclusion. Appendices. Bibliography. Index.