EAN: 9783319243801

RISK-BASED APPROACHES TO ASSET ALLOCATION - MAR...

This book focuses on the concepts and applications of risk-based asset allocation. Markowitz's
traditional approach to asset allocation suffers from serious drawbacks when implemented. These
mainly arise from the estimation risk associated with the necessary input the most critical
being expected returns. With the financial crisis  there has been an increasing interest in
asset allocation approaches that don't need expected returns as input  known as risk-based
approaches. The book provides an analysis of the different solutions that fit this description:
the equal-weighting approach  the global minimum-variance approach  the most diversified
portfolio approach and the risk parity approach. In addition to a theoretical discussion of
these  it presents practical applications in different investment environments. Three different
evaluation dimensions are considered to put these approaches to the test: financial efficiency
diversification and portfolio stability.

Aktuelle Preise zur EAN 9783319243801

Produktinformationen zur 9783319243801