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The Journal of Portfolio Management

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Primary Article

Risk Budgets

George Chow and Mark Kritzman
The Journal of Portfolio Management Winter 2001, 27 (2) 56-60; DOI: https://doi.org/10.3905/jpm.2001.319792
George Chow
A partner at Windham Capital Management Boston in Millbrae (CA 94030).
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Mark Kritzman
A managing partner at Windham Capital Management Boston in Cambridge (MA 02138).
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Abstract

While risk budgets are the new fashion among investment managers, the investment community has yet to agree on the precise meaning of the term, or, more important, on how risk budgeting relates to asset allocation. Intuitively, a risk budget conveys the notion that a portfolio's risk is somehow apportioned to various categories, but such disaggregation is impossible for many descriptions of risk. The authors explore the issues associated with risk budgets with a view to arriving at a clear and uniform understanding of risk budgets and their role in the investment process.

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The Journal of Portfolio Management
Vol. 27, Issue 2
Winter 2001
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Risk Budgets
George Chow, Mark Kritzman
The Journal of Portfolio Management Jan 2001, 27 (2) 56-60; DOI: 10.3905/jpm.2001.319792

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Risk Budgets
George Chow, Mark Kritzman
The Journal of Portfolio Management Jan 2001, 27 (2) 56-60; DOI: 10.3905/jpm.2001.319792
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