2005
DOI: 10.2139/ssrn.684221
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On the Financial Interpretation of Risk Contribution: Risk Budgets Do Add Up

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Cited by 99 publications
(69 citation statements)
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“…Another reason might be the fat tail of the return of the stock, which is inconsistent with the normal distributed assumption. The predicted and realized standard deviations (p_std, r_std) of the percentage contribution are also presented in table 1 that is s , 1,2 proved by Qian (2006). On average, they are quite close.…”
Section: B Numeric Analysismentioning
confidence: 78%
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“…Another reason might be the fat tail of the return of the stock, which is inconsistent with the normal distributed assumption. The predicted and realized standard deviations (p_std, r_std) of the percentage contribution are also presented in table 1 that is s , 1,2 proved by Qian (2006). On average, they are quite close.…”
Section: B Numeric Analysismentioning
confidence: 78%
“…In another word, risk contribution perfectly depicts the loss contribution for optimized mean-variance portfolio. Based on the above fact, Qian (2006) concluded that the volatility decomposition can be financially interpreted by loss contribution. However, as far as the author considered, this conclusion is not very convincing: foremost, except the case when μ μ 0, chances are limited for other two cases in practice, which is also admitted by Qian (2006); In addition, although the case μ μ 0 is common, it does not apply to mid-term and long-term horizon.…”
Section: A Risk Contribution and Loss Contributionmentioning
confidence: 99%
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“…The risk parity [8][9] model is an investment strategy that combines portfolio of long-term benefits with risk control. The model's approach to balance the risk exposure of portfolio is derived from the "all-weather" portfolio of the Bridge Water Fund in the 1960s: when the medium-long-term macroeconomic environment is exacerbated or weakened by inflationary pressures, and economic growth is higher or lower than expected State and cannot be predicted, the equivalent of four subportfolio can ensure that regardless of the kind of economic environment, at least one sub-fund performance.…”
Section: Risk Parity Modelmentioning
confidence: 99%