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 Different Market Phases Robustness and Factor Exposures) to investigate
the use of these models for asset allocation. Beside the risk budgeting models alternatives of
risk-based investment styles are also presented and examined. The results show that equalizing
the risk across the assets does not prevent losses especially in crisis periods and the
performance can mainly be explained by exposures to known asset pricing factors. Thus the
advantages of these approaches compared to known minimum risk portfolios are doubtful.
