scholarly journals Optimal Risk Budgeting Under a Finite Investment Horizon

2013 ◽  
Author(s):  
Marcos Lopez de Prado ◽  
Ralph Vince ◽  
Qiji Jim Zhu
Keyword(s):  
Investment Horizon ◽  
Risk Budgeting

scholarly journals Optimal Risk Budgeting under a Finite Investment Horizon

Risks ◽  
2019 ◽  
Vol 7 (3) ◽  
pp. 86
Author(s):  
Marcos López de Prado ◽  
Ralph Vince ◽  
Qiji Jim Zhu
Keyword(s):  
Quantitative Methods ◽  
Optimal Portfolio ◽  
Investment Horizon ◽  
Risk Averse ◽  
Growth Optimal Portfolio ◽  
Risk Budgeting ◽  
Risk Parity ◽  
Risk Neutral ◽  
Mean Variance

The Growth-Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. This multi-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz’s mean-variance or risk parity. The GOP literature typically considers risk-neutral investors with an infinite investment horizon. In this paper, we compute the optimal bet sizes in the more realistic setting of risk-averse investors with finite investment horizons. We find that, under this more realistic setting, the optimal bet sizes are considerably smaller than previously suggested by the GOP literature. We also develop quantitative methods for determining the risk-adjusted growth allocations (or risk budgeting) for a given finite investment horizon.

The Integration of Risk Budgeting into Attribution Analysis

2001 ◽  
Vol 2001 (3) ◽  
pp. 38-46
Author(s):  
Wayne A. Kozun
Keyword(s):  
Risk Budgeting ◽  
Attribution Analysis

Portfolio Allocation and the Investment Horizon

CFA Digest ◽  
1997 ◽  
Vol 27 (4) ◽  
pp. 68-69
Keyword(s):  
Portfolio Allocation ◽  
Investment Horizon

An Integrated Risk-Budgeting Approach for Multi-Strategy Equity Portfolios

CFA Digest ◽  
2014 ◽  
Vol 44 (11) ◽  
Author(s):  
Lee M. Dunham
Keyword(s):  
Risk Budgeting ◽  
Integrated Risk ◽  
Equity Portfolios

Equity Allocations and the Investment Horizon: A Total Portfolio Approach

CFA Digest ◽  
2003 ◽  
Vol 33 (1) ◽  
pp. 64-66
Author(s):  
Joseph Spivack
Keyword(s):  
Investment Horizon ◽  
Portfolio Approach

Real Misconceptions about Optimal Equity Allocation and Investment Horizon

1998 ◽  
Vol 54 (4) ◽  
pp. 5-5 ◽  
Author(s):  
Mark P. Kritzman
Keyword(s):  
Investment Horizon
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