i'm writing my BA Thesis about "Equally-weighted Risk contributions". Can anyone recommend math books for further understanding of Risk contributions?

  • 1
    $\begingroup$ Welcome to Quant.SE! Why are you specifically looking for books? What are you missing in the academic papers on this subject? $\endgroup$ – Bob Jansen Jul 5 '14 at 20:53
  • $\begingroup$ Bob Jansen, thanks for your warm welcome. My acedemic papers doesn't provide further information. We only have a raw view of portfolio management and several risk subjects f.e. Var, CVar... @haginile, yes it's about risk parity. I need to dig deep down on this topic. For now i've found a lot material. But still, i'm thankful for any further information on this topic. $\endgroup$ – user11573 Jul 16 '14 at 17:00
  • $\begingroup$ It would be helpful if you share the information you found. Hopefully someone can recommend interesting related papers. NB: It's allowed to answer your own question. $\endgroup$ – Bob Jansen Jul 16 '14 at 20:40
  • $\begingroup$ I had first read about risk contributions in Jorian's Value at Risk. There's a paper by Boudt, Carl, and Peterson in the Journal of Risk that does the calculations for CVaR that I sometimes refer to also. $\endgroup$ – John Jul 16 '14 at 21:10

This sounds like risk parity to me. For example, instead of a traditional portfolio of 60% equity + 40% fixed income, you'd allocated 50% of ex-ante risk to equity and 50% of ex-ante risk to fixed income. This strategy is extremely well studied. Just google "risk parity" and you'll find a lot of literature.

| improve this answer | |

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.