volume 7, issue 3, P319-347 2001
DOI: 10.1017/s1357321700002385
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R.C. Urwin, S.J. Breban, T.M. Hodgson, A. Hunt

Abstract: ABSTRACTThis paper extends the concept of investment efficiency from investment management structures to include strategic asset allocation and liability related issues. The concept of risk budgeting is developed. It represents a valuable way of incorporating risk and return information to produce more efficient investment decisions. Information ratio is a key measurement in the process, and it is concluded that the risk budget should be allocated based upon the marginal contribution to it for different source…

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