Introduction to Risk Parity and Budgeting

Introduction to Risk Parity and Budgeting

by Thierry Roncalli


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Product Details

ISBN-13: 9781482207156
Publisher: Taylor & Francis
Publication date: 07/17/2013
Series: Chapman and Hall/CRC Financial Mathematics Series , #27
Pages: 440
Product dimensions: 6.10(w) x 9.30(h) x 1.00(d)

About the Author

Thierry Roncalli is head of Research and Development and a member of the executive committee at Lyxor Asset Management. He is also a professor of economics and finance at the Université d'Evry-Val-d'Essonne. Dr. Roncalli has 17 years of experience in finance and is the author of many articles and several books in quantitative finance. He received a Ph.D. in economics from the University of Bordeaux.

Table of Contents

From Portfolio Optimization to Risk Parity
Modern Portfolio Theory
From optimized portfolios to the market portfolio
Practice of portfolio optimization

Risk Budgeting Approach
Risk allocation principle
Analysis of risk budgeting portfolios
Special case: the ERC portfolio
Risk budgeting versus weight budgeting
Using risk factors instead of assets

Applications of the Risk Parity Approach
Risk-Based Indexation

Capitalization-weighted indexation
Alternative-weighted indexation
Some illustrations

Application to Bond Portfolios
Some issues in bond management
Bond portfolio management
Some illustrations

Risk Parity Applied to Alternative Investments
Case of commodities
Hedge fund strategies

Portfolio Allocation with Multi-Asset Classes
Construction of diversified funds
Long-term investment policy
Absolute return and active risk parity


Appendix A Technical Appendix
Appendix B Tutorial Exercises



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