Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 5 of 5 for “"risk budgeting"”.
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A risk-budgeting framework for the combination of factor equity portfolios
This dissertation examines a risk-budgeting approach to the construction of factor equity portfolios, proposed by de Carvalho et al. (2014). The approach begins with the construction of active-weighted portfolios with exposure to factors that historically have been linked to excess returns in the …
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Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation
A risk budget is the quantification of an acceptable amount of risk that a pension fund is willing to take in its investment decisions, without significantly sacrificing its ability to meet its current and future liabilities.
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Optimal portfolio choice : beyond the traditional expected utility maximization paradigm
… approach and the heuristic approach based on risk budgeting. The main results from mean-variance are reviewed, as well as some novel results, followed by new contributions in the area of calculating expected functionals of the optimal wealth in a log-normal market. The available theory behind …
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An investigation into the style and asset class adjusted performance of South African multi-asset funds
… tools such as portfolio simulation and the ‘Risk Budgeting’ approach are also discussed and applied in a multi-asset context.
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Constructing low cost core-satellite portfolios with multiple risk constraints: practical applications to Robo advising in South Africa using active, passive and smart-beta strategies
Risk and tracking error budgeting was originally adopted by large institutional investors, including pension funds, plan sponsors, foundations, and endowments. More recently, risk and tracking error budgeting have gained popularity among financial advisors, multi-managers, fund of funds managers, …