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Introduction to Risk Parity and Budgeting

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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Quick Reference

ISBN 9781482207156
Barcode 9781482207156
Published 16 July 2013 by Apple Academic Press Inc.
Format Hardback
Author(s) By Roncalli, Thierry
Series Chapman & Hall/CRC Financial Mathematics Series (part: 27)
Availability Indent title (internationally sourced), usually ships 4-6 weeks

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Full details for this title

ISBN-13 9781482207156
ISBN-10 148220715X
Stock Available
Status Indent title (internationally sourced), usually ships 4-6 weeks
Publisher Apple Academic Press Inc.
Imprint Apple Academic Press Inc.
Publication Date 16 July 2013
Publication Country Canada Canada
Format Hardback
Author(s) By Roncalli, Thierry
Series Chapman & Hall/CRC Financial Mathematics Series (part: 27)
Category Investment & Securities
Probability & Statistics
Applied Mathematics
Interest Age 19+ years
Reading Age 19+ years
Library of Congress Risk management, Budget, Portfolio management
NBS Text Finance & Accounting
ONIX Text College/higher education;College/higher education
Number of Pages 440
Dimensions Width: 156mm
Height: 235mm
Spine: 25mm
Weight 748g
Dewey Code 332.60151
Catalogue Code Not specified

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.

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Awards, Reviews & Star Ratings

NZ Review 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

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Author's Bio

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.

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