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Selection of the right risk measures for portfolio allocation

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The use of risk budgets in portfolio optimization

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Dynamic copulas for finance : an application to portfolio risk calculation

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Tail risk and robust portfolio decisions

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The Use of Risk Budgets in Portfolio Optimization

Unger, Albina - 2015

Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk,...