التفاصيل البيبلوغرافية
| العنوان: |
Optimal Active Risk Budgeting Model. |
| المؤلفون: |
Figelman, Ilya1 ilya.figelan@acml.com |
| المصدر: |
Journal of Portfolio Management. Summer2004, Vol. 30 Issue 4, p22-35. 14p. |
| مصطلحات موضوعية: |
*ASSET allocation, *INVESTMENT analysis, *MATHEMATICAL models, *BUDGET, *MATHEMATICAL optimization, *RISK, *INVESTMENT policy |
| مستخلص: |
The article discusses an optimal active risk budgeting model for active management funds from a theoretical and practical perspective. The methodology for calculating the asset class active risk budget in different asset classes is explained, as well as the four steps for mathematical optimization and the equation for mean-variance optimization. The structured general active risk budgeting optimization model is compared to unstructured optimization and Winkelmann's structured linear optimization approach. An example is given for applying the structured global active risk budgeting model to a hypothetical fund. The instability of correlations of excess returns, the bottom-up approach, and the top-down model are mentioned. |
| قاعدة البيانات: |
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