Introduction to Risk Parity and Budgeting: 1st Edition (e-Book) book cover

Introduction to Risk Parity and Budgeting

1st Edition

By Thierry Roncalli

Chapman and Hall/CRC

440 pages

Purchasing Options:$ = USD
Hardback: 9781482207156
pub: 2013-07-16
SAVE ~$13.94
eBook (VitalSource) : 9780429171307
pub: 2016-04-19
from $44.48

FREE Standard Shipping!


Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global fina

Table of Contents

From Portfolio Optimization to Risk Parity: Modern Portfolio Theory. Risk Budgeting Approach. Applications of the Risk Parity Approach: Risk-Based Indexation. Application to Bond Portfolios. Risk Parity Applied to Alternative Investments. Portfolio Allocation with Multi-Asset Classes. Conclusion. Appendices. Bibliography. Index.

About the Author

Thierry Roncalli is head of Research and Development and a member of the executive committee at Lyxor Asset Management. He is also a professor of economics and finance at the Universite d'Evry-Val-d'Essonne. Dr. Roncalli has 17 years of experience in finance and is the author of many articles and several books in quantitative finance. He received a Ph.D. in economics from the University of Bordeaux.

Subject Categories

BISAC Subject Codes/Headings:
MATHEMATICS / Probability & Statistics / General