Title: Risk budgeting : a new approach to investing
Abstract: Introduction Leslie Rahl Part 1: OVERVIEW 1 Risk Budgeting: The Next Step of the Risk Management Journey - The Veteran's Prospective Leslie Rahl 2 Crisis and Risk Management Myron Scholes PART 2: UNDERSTANDING RISK BUDGETING 3 Risk Budgeting: Managing Active Risk at the Total Fund Level Kurt Winkelmann 4 The Dangers of Historical Hedge Fund Data Andrew B. Weisman and Jerome Abernathy 5 Value-at-Risk for Asset Managers Christopher L. Culp, Ron Mensink and Andrea M.P. Neves 6 Risk Budgeting fore Pension Funds and Investment Managers using VAR Michelle McCarthy 7 Risk Budgeting for Active Investment Managers Robert Litterman, Jacques Longerstaey, Jacob Rosengarten and Kurt Winkelmann 8 Risk Obsession: Does it Lead to Risk Aversion? Amy B. Hirsch 9 Market Neutral and Hedged Strategies Joseph G. Nicholas 10 The Infrastructure Challenge: Empowering the Stakeholder through the Successful Deployment of Technology and Data Gabriel Bousbib PART 3: PRACTITIONERS' THOUGHTS: CASE STUDIES IN RISK BUDGETING 11 Risk Budgeting in a Pension Fund Leo de Bever, Wayne Kozun and Barbara Zvan 12 Risk Budgeting with Conditional Risk Tolerance Michael de Marco and Todd E. Petzel 13 VAR for Fund Managers Stephen Rees
Publication Year: 2000
Publication Date: 2000-01-01
Language: en
Type: book
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Cited By Count: 17
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