SpringerBriefs in Finance

Risk-Based Approaches to Asset Allocation

Concepts and Practical Applications

Authors: Braga, Maria Debora

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About this book

This book focuses on the concepts and applications of risk-based asset allocation. Markowitz’s traditional approach to asset allocation suffers from serious drawbacks when implemented. These mainly arise from the estimation risk associated with the necessary input the most critical being expected returns. With the financial crisis, there has been an increasing interest in asset allocation approaches that don’t need expected returns as input, known as risk-based approaches. The book provides an analysis of the different solutions that fit this description: the equal-weighting approach, the global minimum-variance approach, the most diversified portfolio approach and the risk parity approach. In addition to a theoretical discussion of these, it presents practical applications in different investment environments. Three different evaluation dimensions are considered to put these approaches to the test: financial efficiency, diversification and portfolio stability.

About the authors

Maria Debora Braga is Full Professor of Financial Markets and Institutions. She teaches at University of Valle d’Aosta and at SDA Bocconi School of Management. She received her Ph.D in Banking and Finance from Bocconi University and the M.Sc. in Business Administration from the University of Parma. She was Visiting Scholar at the University of London (Birkbeck College) during her Ph.D. and recently she has been Visiting Researcher at Cass Business School (City University London). She is a member of the Italian Scientific Committee of the European Financial Planning Association (€FPA). 

Table of contents (5 chapters)

Table of contents (5 chapters)

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-3-319-24382-5
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $69.99
price for USA
  • ISBN 978-3-319-24380-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.

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Bibliographic Information

Bibliographic Information
Book Title
Risk-Based Approaches to Asset Allocation
Book Subtitle
Concepts and Practical Applications
Authors
Series Title
SpringerBriefs in Finance
Copyright
2016
Publisher
Springer International Publishing
Copyright Holder
The Author(s)
eBook ISBN
978-3-319-24382-5
DOI
10.1007/978-3-319-24382-5
Softcover ISBN
978-3-319-24380-1
Series ISSN
2193-1720
Edition Number
1
Number of Pages
VIII, 99
Number of Illustrations
18 b/w illustrations, 2 illustrations in colour
Topics