volume 9, issue 05, P1061-1123 2003
DOI: 10.1017/s1357321700004463
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G. C. Heywood, J. R. Marsland, G. M. Morrison

Abstract: The paper highlights the role of risk budgeting ö how risk is`spent' ö in the investment management process and some of the practical issues encountered. Risk budgeting has received a great deal of interest from the investment management community recently, but no clear consensus has emerged on how it should be implemented. In this paper we outline a pragmatic risk budgeting method that can be applied at the portfolio level, and show that it can produce superior results when used in conjunction with cluster a…

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