Risk Budgeting – Portfolio Problem Solving with Value at Risk : [PDF Download]

PDF Title:Risk Budgeting – Portfolio Problem
Author:Neil D. Pearson
Total Page:334 Pages
PDF Size:2.07 MB
PDF Link:Read and Download


Here on this page, we have provided option to read “Risk Budgeting – Portfolio Problem Solving with Value at Risk PDF” and please feel free to download PDF file for offline reading it from download link Given below to Your Computer/Mobile Storage. For more books from Same Author You can visit Wiley.com.

Risk Budgeting – Portfolio Problem Solving with Value at Risk- Download PDF Book:

“Derivatives dealers typically express the value-at-risk as a dollar amount, while in investment management value-at-risk may be expressed as a percentage of the value of the portfolio. Given this, it is clear that value-at-risk is closely related to portfolio standard deviation, a concept that has been used by quantitative portfolio managers since they first existed.

In fact, if we assume that portfolio returns are normally distributed (an assumption made in some VaR methodologies), value-at-risk is proportional to the difference between the expected change in the value of a portfolio and the portfolio’s standard deviation.

In investment management contexts, value-at-risk is often expressed relative to the return on a benchmark, making it similar to the standard deviation of the tracking error. What then is new or different about value-at-risk? Crucially, value-at-risk is a forward-looking measure of risk, based on current portfolio holdings.

In contrast, standard deviations of returns and tracking errors are typically computed using historical fund returns and contain useful risk information only if one assumes both consistency on the part of the portfolio managers and stability in the market environment.

Because value-at-risk is a forward-looking measure, it can be used to identify violations of risk limits, unwanted risks, and managers who deviate from their historical styles before any negative outcomes occur.”

PDF Preview – Read, Think and Grow

Download Link: Risk Budgeting – Portfolio Problem Solving with Value at Risk PDF File

Our intention with this initiative is only to help needy people. If the PDF file download link is not working or this PDF Content is Copyright material and if you want to unpublish it, Please REPORT IT.

Share with Others: