[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.
Regards,
Owe
--
Owe Jessen
Diplom-Volkswirt
Von-der-Horst-Str. 9
24118 Kiel
jessen at econinfo.de
http://www.econinfo.de
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