[R-SIG-Finance] Thinking about Risk Budgeting and Portfolio Construction

Owe Jessen jessen at econinfo.de
Wed May 21 18:42:35 CEST 2008

Brian G. Peterson schrieb:
> 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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Just kidding: I'd be curious in which way one had to twist the 
portfolios of CDOs that portfolios consisting of subrime-market-loans 
could end up getting AAA-ratings.

Or maybe only halfway kidding, I just suppose this is not what you have 
in mind with your paper.


Owe Jessen
Von-der-Horst-Str. 9 
24118 Kiel

jessen at econinfo.de

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