Introduction to Risk Parity and Budgeting
Combining theoretical and practical approaches, this book provides a comprehensive and up-to-date treatment of risk parity, an alternative method to Markowitz optimization. Written by a well-known expert of asset management and risk parity, it covers risk budgeting techniques, al... read full description below.
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Full details for this title
|Library of Congress
||Risk management, Budget, Portfolio management
||Finance & Accounting
||College/higher education;College/higher education
Description of this Book
Combining theoretical and practical approaches, this book provides a comprehensive and up-to-date treatment of risk parity, an alternative method to Markowitz optimization. Written by a well-known expert of asset management and risk parity, it covers risk budgeting techniques, alternative-weighted indexation, strategic asset allocation, the impact of constraints on portfolio theory, and long-term investment policy. It also builds financial exposure to commodities and takes into account credit risk in the management of bond portfolios.
Awards, Reviews & Star Ratings
||Professor Roncalli's masterful treatment on the subjects of risk parity investing and risk budgeting represents a significant contribution to the rapidly emerging literature on risk parity. This text provides an academically rigorous yet intuitive and understandable introduction to important topics like risk-based equity and fixed-income portfolio construction as well as asset allocation. The book surveys and pulls from seminar papers as well as frontier research in the risk parity field and provides a balanced and application-oriented discussion on the important nuances. This book is highly recommended for finance industry practitioners as well as students of financial engineering. -Jason Hsu, UCLA Anderson School of Management
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 Universite 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.