Risk Budgeting: A New Approach to Investing

  • ID: 220528
  • Book
  • 300 Pages
  • Incisive Media
1 of 3
"Rahl has done an excellent job in providing a collection of articles that clearly bring together the concepts surrounding risk budgeting, which should be essential reading for anyone with an interest in this area."
Douglas Long, Principia Partners

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

-Make an informed decision about how to implement and execute a "risk unit allocation" investment policy

-Analysis of techniques to assess how risk might impact long-term investment returns

-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

-Investigates ways to use VAR to accommodate a long-term investment horizon

-Contributions from leading experts drawn from consultancies; large institutional investors; pension plans; investment banks and academia
Note: Product cover images may vary from those shown
2 of 3
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
Note: Product cover images may vary from those shown
3 of 3

Loading
LOADING...

4 of 3
Note: Product cover images may vary from those shown
Adroll
adroll