Institutionelle Anleger, Fonds-und Portfoliomanager müssen Risiken eingehen, wenn sie
Spitzengewinne erzielen wollen. Die Frage ist nur wieviel Risiko." Risk Budgeting: Portfolio …

Whether you are a pension plan sponsor rethinking investment objectives or conducting an
asset allocation study, an investor interested in evaluating asset-liability value-at-risk, or an …

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 …

Diderich describes tools and techniques, which can be used to develop quantitative models
for actively managing investment products, and focuses on how theoretical models can and …

A structured global optimization model budgets a fund's total active risk (tracking error)
among its asset classes or across investment managers. Its objective is to maximize total …

Structural positions are very common in investment practice. A structural position is defined
as a permanent overweighting of a riskier asset class relative to a prespecified benchmark …

金融风险预算理论及其在投资管理中的应用-[维普官方网站]-www.cqvip.com-维普网  我的维普
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Risk management is easy to explain in theory and beguilingly in simple way but in reality, it
does not necessarily work out and achieve the set objectives in the intended fashion and …

Let us go through a simple two-manager example to study how the mechanics of optimal
manager allocation work.(See Appendix A (on page 395) for a more general approach.) …

亚洲金融危机后, 许多新兴市场国家和地区开始大量积累外汇储备, 导致自由储备水平远远超过
国家债务数量. 本文指出目前中央银行在巨额外汇储备管理上是低效率的 …