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Introduction to Risk Parity and Budgeting
Company: Chapman & Hall
Company Url: Click here to open
Year Of Publication: 2013
Month Of Publication: July
Resource Link: Click here to open
Pages: 440
Download Count: 0
View Count: 1270
Comment Num: 0
Language: English
Source: book
Who Can Read: Free
Date: 11-17-2013
Publisher: Administrator
Summary
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.
Author(s)
Roncalli, Thierry Sign in to follow this author
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