Introduction to Risk Parity and Budgeting

Auteur

Thierry Roncalli is head of Research and Development and a member of the executive committee at Lyxor Asset Management. He is also a professor of economics and finance at the Université d'Evry-Val-d'Essonne. Dr. Roncalli has 17 years of experience in finance and is the author of many articles and several books in quantitative finance. He received a Ph.D. in economics from the University of Bordeaux.

Texte du rabat

Written by a well-known expert of asset management and risk parity, this book provides an up-to-date treatment of the risk parity approach, an alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy.

Contenu

From Portfolio Optimization to Risk Parity: Modern Portfolio Theory. Risk Budgeting Approach. Applications of the Risk Parity Approach: Risk-Based Indexation. Application to Bond Portfolios. Risk Parity Applied to Alternative Investments. Portfolio Allocation with Multi-Asset Classes. Conclusion. Appendices. Bibliography. Index.