[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?



    - Brian

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