Risk budgeting : a new approach to investing
Author(s)
Bibliographic Information
Risk budgeting : a new approach to investing
Risk Books, c2000
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Note
Includes bibliographical references and index
Description and Table of Contents
Description
This is a practical and authoritative introduction to the concept of risk unit allocation as an alternative and more effective decision-making process for long-term investors. It sets out to help investors make an informed decision about how to implement and execute a "risk unit allocation" investment policy, and analyzes techniques to assess how risk might impact long-term investment returns. The book also introduces methods to allocate assets based on the "risk unit" exposures - in individual asset classes and on a portfolio basis, to meet long-term pension obligations and investment return objectives. There are contributions from leading experts drawn from consultancies; large institutional investors; pension plans; investment banks and academia.
Table of Contents
Introduction Leslie Rahl Part 1: OVERVIEW 1 Risk Budgeting: The Next Step of the Risk Management Journey - The Veteran's Prospective Leslie Rahl 2 Crisis and Risk Management Myron Scholes PART 2: UNDERSTANDING RISK BUDGETING 3 Risk Budgeting: Managing Active Risk at the Total Fund Level Kurt Winkelmann 4 The Dangers of Historical Hedge Fund Data Andrew B. Weisman and Jerome Abernathy 5 Value-at-Risk for Asset Managers Christopher L. Culp, Ron Mensink and Andrea M.P. Neves 6 Risk Budgeting fore Pension Funds and Investment Managers using VAR Michelle McCarthy 7 Risk Budgeting for Active Investment Managers Robert Litterman, Jacques Longerstaey, Jacob Rosengarten and Kurt Winkelmann 8 Risk Obsession: Does it Lead to Risk Aversion? Amy B. Hirsch 9 Market Neutral and Hedged Strategies Joseph G. Nicholas 10 The Infrastructure Challenge: Empowering the Stakeholder through the Successful Deployment of Technology and Data Gabriel Bousbib PART 3: PRACTITIONERS' THOUGHTS: CASE STUDIES IN RISK BUDGETING 11 Risk Budgeting in a Pension Fund Leo de Bever, Wayne Kozun and Barbara Zvan 12 Risk Budgeting with Conditional Risk Tolerance Michael de Marco and Todd E. Petzel 13 VAR for Fund Managers Stephen Rees
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