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The Journal of Portfolio Management

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Primary Article

Risk Budgets

Comment

George Chow, Mark Kritzman and Anne-Sophie Van Royen
The Journal of Portfolio Management Summer 2001, 27 (4) 109-111; DOI: https://doi.org/10.3905/jpm.2001.319818
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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Anne-Sophie Van Royen
A senior quantitative strategist at State Street Associates in Cambridge (MA 02138).
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Abstract

In a previous issue, George Chow and Mark Kritzman discussed the relationship of risk budgeting and asset allocation. A risk budget is defined as the conversion of optimal allocations from mean–variance optimization into value at risk assignments. This comment identifies an error in the formula for the sensitivity of portfolio value at risk with respect to asset weights. The authors demonstrate how to derive VaR sensitivity correctly and extend the analysis to more than three assets.

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The Journal of Portfolio Management
Vol. 27, Issue 4
Summer 2001
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Risk Budgets
George Chow, Mark Kritzman, Anne-Sophie Van Royen
The Journal of Portfolio Management Jul 2001, 27 (4) 109-111; DOI: 10.3905/jpm.2001.319818

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Risk Budgets
George Chow, Mark Kritzman, Anne-Sophie Van Royen
The Journal of Portfolio Management Jul 2001, 27 (4) 109-111; DOI: 10.3905/jpm.2001.319818
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