Dissertation: Delegated Investing and Optimal Risk Budgets

Delegated Investing and Optimal Risk Budgets

Finanzmanagement, Band 49

Hamburg , 174 Seiten

ISBN 978-3-8300-3612-8 (Print)
ISBN 978-3-339-03612-4 (eBook)

Zum Inhalt

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.

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Ihr Werk im Verlag Dr. Kovač

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