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Risk-Based Approaches to Asset Allocation by Maria Debora Braga
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Risk-Based Approaches to Asset Allocation

Concepts and Practical Applications
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Description

This book focuses on the concepts and applications of risk-based asset allocation. Markowitz’s traditional approach to asset allocation suffers from serious drawbacks when implemented. These mainly arise from the estimation risk associated with the necessary input the most critical being expected returns. With the financial crisis, there has been an increasing interest in asset allocation approaches that don’t need expected returns as input, known as risk-based approaches. The book provides an analysis of the different solutions that fit this description: the equal-weighting approach, the global minimum-variance approach, the most diversified portfolio approach and the risk parity approach. In addition to a theoretical discussion of these, it presents practical applications in different investment environments. Three different evaluation dimensions are considered to put these approaches to the test: financial efficiency, diversification and portfolio stability.

Author Biography:

Maria Debora Braga is Full Professor of Financial Markets and Institutions. She teaches at University of Valle d’Aosta and at SDA Bocconi School of Management. She received her Ph.D in Banking and Finance from Bocconi University and the M.Sc. in Business Administration from the University of Parma. She was Visiting Scholar at the University of London (Birkbeck College) during her Ph.D. and recently she has been Visiting Researcher at Cass Business School (City University London). She is a member of the Italian Scientific Committee of the European Financial Planning Association (€FPA). 
Release date NZ
November 9th, 2015
Audience
  • Professional & Vocational
Edition
1st ed. 2016
Illustrations
2 Illustrations, color; 18 Illustrations, black and white; VIII, 99 p. 20 illus., 2 illus. in color.
Pages
99
Dimensions
155x235x6
ISBN-13
9783319243801
Product ID
24081676

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