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Risk-Based Approaches to Asset Allocation - Concepts and Practical Applications (Paperback, 1st ed. 2016)
Loot Price: R2,257
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Risk-Based Approaches to Asset Allocation - Concepts and Practical Applications (Paperback, 1st ed. 2016)
Series: SpringerBriefs in Finance
Expected to ship within 10 - 15 working days
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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.
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