Risk Budgeting: A New Approach to Investing (Hardcover)

by Capital Market Risk Advisors (Author) "Risk management is a journey, not a destination..." (more)
Key Phrases: United States, Lehman Brothers, Monte Carlo (more...)

Editorial Reviews

Review
Offers solid perspectives on managing risk, while advanced practitioners can use it as a reference when structuring their VAR programs. -- Paul Barr, Reporter, Hedge World

Rahl's done an excellent job in providing a collection of articles that clearly bring together the concepts surrounding risk budgeting. -- Douglas Long, Principia Partners

Product Description
A practical and authoritative introduction to the concept of risk unit allocation as an alternative and more effective decision-making process for long-term investors.

*Make an informed decision about how to implement and execute a "risk unit allocation" investment policy

*Analysis of techniques to assess how risk might impact long-term investment returns

*Introduces methods to allocate assets based on the "risk unit" exposures - in individual asset classes and on a portfolio basis, to meet long-term pension obligations and investment return objectives

*Investigates ways to use VAR to accommodate a long-term investment horizon

*Contributions from leading experts drawn from consultancies; large institutional investors; pension plans; investment banks and academia

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Product Details

• Hardcover: 350 pages
• Publisher: Risk Books; 1st edition (October 1, 2000)
• Language: English
• ISBN-10: 1899332944
• ISBN-13: 978-1899332946
• Product Dimensions: 9.3 x 6.2 x 1.1 inches
• Shipping Weight: 1.8 pounds (View shipping rates and policies)
• Average Customer Review: 4.0 out of 5 stars See all reviews (1 customer review)
• Amazon.com Sales Rank: #585,704 in Books (See Bestsellers in Books)

Customer Reviews

Most Helpful Customer Reviews

7 of 10 people found the following review helpful:

4.0 out of 5 stars Novel approach to risk budgeting and asset management, March 5, 2001

By A Customer

The book provides a delightful insight into the intricate world of balancing the trade-off between risk management and higher returns. This book is meant for those either alreday in the industry or those that have a strong interest in the day to day management of large funds. A glimpse of the authors in the book would please any academician -- MIT, Harvards, Stanfords, PhD's, CFA's... The content is varied and at the cutting edge of asset management -- a must read for any interested in an academic, risk managed approach to the world of asset management. Higher returns are not guaranteed, and the book will be too complex for many, but for those with some background it's a worthwhile splurge.