Thinking about Risk Budgeting and Portfolio Construction

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

_______________________________________________
R-SIG-Finance at stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only.
-- If you want to post, subscribe first.

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

Thinking about Risk Budgeting and Portfolio Construction

Thread (2 messages)