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Risk-BudgetingAllocation versus …
portfolio optimizationRisk- budgeting techniquesSome illustrationsPortfolio OptimizationversusRisk- budgeting Allocation1 Thierry Roncalli??Lyxor Asset Management, France & vry University, FranceWG RISK ESSEC, January 18, 20121 The opinions expressed in this presentation are those of the author and are notmeant to represent the opinions or official positions of Lyxor Asset RoncalliPortfolio optimization vs Risk- budgeting Allocation1 / 54 portfolio optimizationRisk- budgeting techniquesSome illustrationsOutline1 portfolio optimizationSome ModelsRobustness of the Markowitz frameworkWeights constraints and portfolio Theory2 Risk- budgeting techniquesRisk- budgeting principlesThe ERC portfolio3 Some illustrationsRisk-based indexationRisk parity fundsBond portfolios managementThierry RoncalliPortfolio optimization vs Risk- budgeting Allocation2 / 54 portfolio optimizationRisk- budgeting techniquesSome illustrationsSome ModelsRobustness of the Markowitz frameworkWeights constraints and portfolio TheorySome modelsMost Popular Models in Asset AllocationMean-variance portfolio selection (Markowitz, 1952)
Portfolio optimization Risk-budgeting techniques Some illustrations Outline 1 Portfoliooptimization SomeModels RobustnessoftheMarkowitzframework ...
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