Coverabbildung: Dissertation, „Delegated Investing and Optimal Risk Budgets“ von Markus O. Starck

Markus O. Starck Delegated Investing and Optimal Risk Budgets

Hamburg 2008, 174 pages

About this book

Major investment decisions are often delegated to financial professionals. Unfortunately, this is completely ignored by standard models of financial markets. Given a benchmark portfolio, a portfolio manager aims to maximize the benchmark excess return. How much active risk should be added by active portfolio management? This book shows how investors allocate active risks optimally for their overall investment objectives such as minimizing the shortfall probability or Value at Risk. Furthermore, the simultaneous strategic asset allocation and active risk allocation is optimized with respect to the Sharpe ratio, shortfall probability, as well as Value at Risk.

This book is relevant for portfolio managers in investment companies and overlay portfolio management as well as for students and researchers interested in portfolio theory.

Keywords

Active Portfolio Management Betriebswirtschaftslehre Delegated Investing Finance Overlay Portfolio Management Portfolio Theory Principal Agent Theory Risk Budgets Strategic Asset and Active Risk Allocation

Bibliography

Author	Markus O. Starck
Title	Delegated Investing and Optimal Risk Budgets
Pages	174
Year of Publication	2008
Place	Hamburg
ISBN (Print)	978-3-8300-3612-8
eISBN (eBook)	978-3-339-03612-4
Series	Finanzmanagement
Volume	49

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Weitere Exportformate für Katalogisierung und Zitation

MARC 21

=020  978-3-8300-3612-8
=100  Markus O. Starck
=245  10$aDelegated Investing and Optimal Risk Budgets
=264  Hamburg : $bVerlag Dr. Kovač, $c2008
=490  0Finanzmanagement
=300  174 Seiten
=650  Delegated Investing
=650  Portfolio Theory
=650  Active Portfolio Management
=650  Risk Budgets
=650  Strategic Asset and Active Risk Allocation
=650  Principal Agent Theory
=650  Overlay Portfolio Management
=650  Finance
=650  Betriebswirtschaftslehre
=650  : Betriebswirtschaft
=650  : Rechnungswesen & Finanzen

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BibTeX

@book{starck2008-delegated,
  author    = {Markus O. Starck},
  title     = {Delegated Investing and Optimal Risk Budgets},
  year      = {2008},
  publisher = {Verlag Dr. Kovač},
  series    = {Finanzmanagement},
  isbn      = {978-3-8300-3612-8},
  address   = {Hamburg},
  pages     = {174},
  fachbereich = {Betriebswirtschaft},
  fachgebiet  = {Rechnungswesen & Finanzen},
  keywords    = {Delegated Investing, Portfolio Theory, Active Portfolio Management, Risk Budgets, Strategic Asset and Active Risk Allocation, Principal Agent Theory, Overlay Portfolio Management, Finance, Betriebswirtschaftslehre},
}

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RIS (für EndNote, Zotero, Citavi …)

TY  - BOOK
AU  - Markus O. Starck
TI  - Delegated Investing and Optimal Risk Budgets
PY  - 2008
PB  - Verlag Dr. Kovač
T3  - Finanzmanagement
SN  - 978-3-8300-3612-8
CY  - Hamburg
N1  - 174 Seiten
SP  - Fachbereich: Betriebswirtschaft
SP  - Fachgebiet: Rechnungswesen & Finanzen
KW  - Delegated Investing
KW  - Portfolio Theory
KW  - Active Portfolio Management
KW  - Risk Budgets
KW  - Strategic Asset and Active Risk Allocation
KW  - Principal Agent Theory
KW  - Overlay Portfolio Management
KW  - Finance
KW  - Betriebswirtschaftslehre
ER  -

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