Risk-Based Approaches to Asset Allocation

Concepts and Practical Applications

Business & Finance, Economics, Macroeconomics, Finance & Investing, Finance
Cover of the book Risk-Based Approaches to Asset Allocation by Maria Debora Braga, Springer International Publishing
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Author: Maria Debora Braga ISBN: 9783319243825
Publisher: Springer International Publishing Publication: December 10, 2015
Imprint: Springer Language: English
Author: Maria Debora Braga
ISBN: 9783319243825
Publisher: Springer International Publishing
Publication: December 10, 2015
Imprint: Springer
Language: English

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.

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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.

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