[R-SIG-Finance] Thinking about Risk Budgeting and Portfolio Construction
Brian G. Peterson
brian at braverock.com
Wed May 21 12:41:59 CEST 2008
We're getting ready to start a journal article/paper on risk budgeting
and portfolio construction utilizing component risk metrics. I'd like
some input from the r-sig-finance community on what types of questions
in this space you feel are under-served in the literature.
Specifically, we plan to examine how utilizing the sub-additive risks of
each component of the portfolio (and optimizing the portfolio based on
these) differs in out-of-sample performance from traditional risk
budgeting methods which simply pick the target variance portfolio on the
efficient frontier.
So, I'd like *your* input. What questions do you have about risk
budgeting portfolio construction methods? What areas are poorly covered
in the literature? Are there any papers or references that you think we
should read before starting out?
Thanks!
Regards,
- Brian
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