New answers tagged risk
2
votes
Accepted
Derivation of optimal portfolio weights using Risk Budgeting approach
You are correct in your assumption, this is specified at the start of section 2.2.1 Definition of a risk budgeting portfolio.
We consider a set of given risk budgets $\{B_1,\dots,B_n\}$. Here
$B_i$ ...
- 1,113
Top 50 recent answers are included
Related Tags
risk × 547risk-management × 121
value-at-risk × 63
risk-models × 52
portfolio-management × 42
options × 31
credit-risk × 29
volatility × 28
portfolio-optimization × 27
modern-portfolio-theory × 25
portfolio × 23
finance × 19
statistics × 18
sharpe-ratio × 18
equities × 16
fixed-income × 16
programming × 15
returns × 14
optimization × 14
default-probability × 14
time-series × 13
fx × 13
factor-models × 13
variance × 13
coherent-risk-measure × 13