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Markus O. Starck: Delegated Investing and Optimal Risk Budgets
Markus O. Starck: Delegated Investing and Optimal Risk Budgets

Markus O. Starck - Delegated Investing and Optimal Risk Budgets

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Über das Buch

Zum Inhalt

Major investment decisions are often delegated to financial professionals. Unfortunately, this is completely ignored by standard models of financial markets. Given a benchmark portfolio, a portfolio manager aims to maximize the benchmark excess return. How much active risk should be added by active portfolio management? This book shows how investors allocate active risks optimally for their overall investment objectives such as minimizing the shortfall probability or Value at Risk. Furthermore, the simultaneous strategic asset allocation and active risk allocation is optimized with respect to the Sharpe ratio, shortfall probability, as well as Value at Risk.

This book is relevant for portfolio managers in investment companies and overlay portfolio management as well as for students and researchers interested in portfolio theory. [...]

Schlagworte

Delegated Investing, Portfolio Theory, Active Portfolio Management, Risk Budgets, Strategic Asset and Active Risk Allocation, Principal Agent Theory, Overlay Portfolio Management, Finance, Betriebswirtschaftslehre

  • Autor*in
    Markus O. Starck
  • Seiten
    174
  • Jahr
    Hamburg 2008
  • ISBN
    978-3-8300-3612-8
  • Fachdisziplin
    Rechnungswesen & Finanzen
  • Schriftenreihe
    Finanzmanagement
  • ISSN
    1439-5266
  • Band
    49
  • Fachbereich
    Wirtschaft

Lieferzeit

(*) Die Lieferzeit beträgt innerhalb Deutschlands üblicherweise 2 bis 3 Werktage ab Zahlungseingang. Bei Bestellungen an Wochenenden und Feiertagen verzögert sich die Auslieferung entsprechend.