On the financial interpretation of risk contribution: Risk budgets do add up

EE Qian - Available at SSRN 684221, 2005 - papers.ssrn.com
There are lingering questions in the financial industry regarding the concepts of risk
contribution and risk budgeting. The questions stem from both the simple belief that risks are …

[BOOK][B] Quantitative equity portfolio management: modern techniques and applications

EE Qian, RH Hua, EH Sorensen - 2007 - taylorfrancis.com
Quantitative equity portfolio management combines theories and advanced techniques from
several disciplines, including financial economics, accounting, mathematics, and …

[BOOK][B] Risk parity fundamentals

EE Qian - 2016 - books.google.com
Discover the Benefits of Risk Parity InvestingDespite recent progress in the theoretical
analysis and practical applications of risk parity, many important fundamental questions still …

Measuring the true cost of active management by mutual funds

RM Miller - Available at SSRN 746926, 2005 - papers.ssrn.com
Recent years have seen a dramatic shift from mutual funds into hedge funds even though
hedge funds charge management fees that have been decried as outrageous. While …

[PDF][PDF] Portable Alpha

E Kung, L Pohlman - Journal of Portfolio Management, 2004 - Citeseer
Active investment managers provide two types of return: the return generated from market
exposure or “beta” and the return that comes from selection skill or “alpha.” Active “beta” …

Hedging currencies with hindsight and regret

M Statman, KL Fisher - Available at SSRN 428741, 2003 - papers.ssrn.com
We find that the mean returns and standard deviations of global portfolios with hedged
currencies during the 15-year period 1988-2002 were approximately equal to those of …

[BOOK][B] A SMART approach to portfolio management

A Muralidhar - 2011 - Citeseer
" Not only it's not right, it's not even wrong.” Wolfgang Ernst Pauli 1 My friend Joe Azelby has
a great story about how when you go deep-sea fishing you want a captain who is missing …

Systems and methods for portable alpha-plus fixed income products

JS Coates - US Patent 7,689,491, 2010 - Google Patents
A financial product. The financial product includes a fixed income component and an alpha
engine component. The fixed income component is structured to provide asset-liability …

Allocating systemic risk in a regulatory perspective

C Gourieroux, A Monfort - International Journal of Theoretical and …, 2013 - World Scientific
The paper proposes an axiomatic approach for allocating aggregate risk among individual
entities. It is shown that a risk allocation system should obey two axioms. The allocations …

Almost exact risk budgeting with return forecasts for portfolio allocation

A Bhardwaj, MK Hanawal, P Parthasarathy - Operations Research Letters, 2023 - Elsevier
We revisit the portfolio allocation problem with designated risk-budget. We generalize the
problem of arbitrary risk budgets with unequal correlations to one that includes return …