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Risk Management in Asset Management

The Growth of Risk Management: A History, 2003

17 Pages Posted: 30 Jul 2009  

Gregory Connor

London School of Economics & Political Science (LSE) - Department of Accounting and Finance

Robert A. Korajczyk

Northwestern University - Kellogg School of Management

Date Written: January 17, 2003

Abstract

Investors are natural risk bearers, in part due to the vast array of risk management tools available to them. These tools allow a risk budgeting process that de-couples the asset allocation and active bets taken in the portfolio. The risk of non-traded assets in the portfolio can be reduced by selective hedging and insurance products. Non-traded assets and a dynamic risk/return tradeoff lead to horizon specific asset allocation. Portfolios should be constructed to account for the systematic shifts in asset liquidity.

Keywords: risk management, asset management

JEL Classification: G1, G11

Suggested Citation

Connor, Gregory and Korajczyk, Robert A., Risk Management in Asset Management (January 17, 2003). The Growth of Risk Management: A History, 2003. Available at SSRN: https://ssrn.com/abstract=1440266

Gregory Connor

London School of Economics & Political Science (LSE) - Department of Accounting and Finance ( email )

Houghton Street
London WC2A 2AE
United Kingdom
+44 702 955-6407 (Phone)
+44 702 955-7420 (Fax)

Robert A. Korajczyk (Contact Author)

Northwestern University - Kellogg School of Management ( email )

Kellogg School of Management
2211 Campus Drive, Room 4357
Evanston, IL 60208
United States
847-491-8336 (Phone)
847-491-5719 (Fax)

HOME PAGE: http://www.kellogg.northwestern.edu/faculty/directory/korajczyk_robert.aspx#research

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