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
Thinking about Risk Budgeting and Portfolio Construction
2 messages · Brian G. Peterson, Owe Jessen
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