Thierry RoncalliIntroduction to RiskParity and BudgetingarXiv:1403.1889v1 [q-fin.PM] 7 Mar 2014
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 fi...
Introduction to Risk Parity and Budgeting provides an up-to-date treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy. This book ...
(2013). Introduction to Risk Parity and Budgeting. Chapman & Hall, CRC Financial Mathematics Series.Roncalli, T(. 2013). Introduction to risk parity and budgeting. CRC Press.Roncalli, T. (2014) Introduction to Risk Parity and Budgeting. 1st edn. Boca Raton, FL: Taylor & Francis....
It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy. This book contains the solutions of tutorial exercices which are included in Introduction to Risk Parity and Budgeting. 展开 关键词:...
Thierry Roncalli - Introduction to Risk Parity and Budgeting Thierry Roncalli - Introduction to Risk Parity and Budgeting.pdf