Introduction to Risk Parity and Budgeting
Year of publication: |
2013-06-01
|
---|---|
Authors: | Roncalli, Thierry |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Risk parity | risk budgeting | portfolio optimization | CAPM | risk premium | beta | Sharpe ratio | shrinkage methods | convex risk measure | Euler allocation | marginal risk | risk contribution | value-at-risk | volatility | expected shortfall | Cornish Fisher expansion | risk factors | smart beta |
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