FRE-GY6711: Quantitative Portfolio Management Module 2 - Risk Budgeting (Presentation Slides)

84 Pages Posted: 20 Jul 2017

See all articles by Thomas K. Philips

Thomas K. Philips

NYU Tandon School of Engineering - Department of Finance and Risk Engineering

Date Written: July 17, 2017

Abstract

Lecture notes for Quantitative Portfolio Management Module 2 - Risk Budgeting

Keywords: Optimization, Risk Budgeting, Robust Risk Budgeting, Black-Litterman, Treynor-Black, Risk Contribution, Euler's Theorem, Risk Parity, Leverage

JEL Classification: G11, G12, G15, G20

Suggested Citation

Philips, Thomas K., FRE-GY6711: Quantitative Portfolio Management Module 2 - Risk Budgeting (Presentation Slides) (July 17, 2017). Available at SSRN: https://ssrn.com/abstract=3004053 or http://dx.doi.org/10.2139/ssrn.3004053

Thomas K. Philips (Contact Author)

NYU Tandon School of Engineering - Department of Finance and Risk Engineering ( email )

Brooklyn, NY 11201
United States

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