On the financial interpretation of risk contribution: Risk budgets do add up
EE Qian - Available at SSRN 684221, 2005 - papers.ssrn.com
There are lingering questions in the financial industry regarding the concepts of risk
contribution and risk budgeting. The questions stem from both the simple belief that risks are …
contribution and risk budgeting. The questions stem from both the simple belief that risks are …
Asset allocation and portfolio performance: Evidence from university endowment funds
We use university endowment funds to study the relationship between asset allocation
decisions and performance in multiple asset class portfolios. Although endowments differ …
decisions and performance in multiple asset class portfolios. Although endowments differ …
[BOOK][B] Quantitative equity portfolio management: modern techniques and applications
EE Qian, RH Hua, EH Sorensen - 2007 - taylorfrancis.com
Quantitative equity portfolio management combines theories and advanced techniques from
several disciplines, including financial economics, accounting, mathematics, and …
several disciplines, including financial economics, accounting, mathematics, and …
Robust portfolios that do not tilt factor exposure
Robust portfolios reduce the uncertainty in portfolio performance. In particular, the worst-
case optimization approach is based on the Markowitz model and form portfolios that are …
case optimization approach is based on the Markowitz model and form portfolios that are …
The sense and nonsense of risk budgeting
AB Berkelaar, A Kobor, M Tsumagari - Financial Analysts Journal, 2006 - Taylor & Francis
A framework is described for the optimal allocation of active risk among broad asset classes
or external asset managers. Unlike most risk allocation models used by practitioners, this …
or external asset managers. Unlike most risk allocation models used by practitioners, this …
The troves of academe: Asset allocation, risk budgeting, and the investment performance of university endowment funds
In this paper we investigate the role of asset allocation in the performance of college and
university endowment funds. Our analysis is based on a comprehensive dataset detailing …
university endowment funds. Our analysis is based on a comprehensive dataset detailing …
[PDF][PDF] An in-depth look at the information ratio
SL Blatt - 2004 - Citeseer
The information ratio is a very controversial topic in the business world. Some portfolio
managers put a lot of weight behind this risk-analysis measurement while others believe that …
managers put a lot of weight behind this risk-analysis measurement while others believe that …
[PDF][PDF] DISCUSSION PAPER PI-1008
The investment decision confronting managers of multi-asset class portfolios can be
characterized in terms of the passive (ie, benchmark, or policy) and active (ie, market timing …
characterized in terms of the passive (ie, benchmark, or policy) and active (ie, market timing …
[PDF][PDF] Practical risk analysis for portfolio managers and traders
A Madhavan, J Yang - The Journal of Portfolio Management, 2003 - Citeseer
Once a fairly esoteric subject, risk analysis and measurement has become a critical function
for both portfolio managers and traders. Yet, accurate measurement and analysis of risk …
for both portfolio managers and traders. Yet, accurate measurement and analysis of risk …
Risk parity approach: A thematic review of literature and research opportunities
TA Shah - Indian Journal of Research in Capital …, 2018 - indianjournalofentrepreneurship …
The crisis of 2008 diverted research energy towards exploring alternative asset allocation
methods with the main focus on risk diversification of portfolio due to failure of traditional …
methods with the main focus on risk diversification of portfolio due to failure of traditional …