资源描述：
《the sense and nonsense of risk budgeting》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。
1、CHAPTER18THESENSEANDNONSENSEOFRISKBUDGETING∗ArjanB.Berkelaar,CFA,AdamKobor,CFA,andMasakiTsumagari,CFAAframeworkisdescribedfortheoptimalallocationofactiveriskamongbroadassetclassesorexternalassetmanagers.Unlikemostriskallocationmodelsusedbypractitioners,thisframewo
2、rkdoesnotassumethatcross-correlationsarezero.Ananalyticalexpressionfortheoptimalallocationoftrackingerroramonginvestmentdecisionareas(assetsandexternalmanagers)inthepresenceofcorrelationsispro-vided.Thekeytounderstandingoptimalriskallocationisthecorrelation-adjust
3、edinformationratio,anovelconceptintroducedinthisarticle.Alsodiscussedarevari-ousapproachestosettingrealisticinputassumptions,suchastheexpectedIR,forderivingoptimalriskallocation.Riskbudgetingisonthemindsofmanyinstitutionalinvestors.Afewyearsofdismalequityreturnsan
4、ddecreasingbondyieldshaveleftmanypensionfundsunderfunded.Whatisworse,theoutlookforequityandbondmarketsforthenext10yearsisnotasrosyasitwasintheearly1990s.Manyinstitutionalinvestorsarenowdesperatelysearchingfordiversificationandreturn-enhancingstrategies.Institutiona
5、linvestorscannolongersimplyrelyonmarketreturnstostayabreastofliabilities.Returnsneedtobemilkedtosqueezeouteverybitofalphaavailable.Asaresult,investorsneedtodeviatefrombenchmarksandintroduceactiveriskintotheirportfolios.Byfocusingonriskandfollowingadisciplinedappro
6、ach,investorshope(providedthattheyareskillful)toachievesuperiorreturns.Riskbudgetingmayaidtheminachievingthisobjective.Somepeoplebelievethatriskbudgetingissimplyabuzzword,butjudgingbythenum-berofarticlesthathaveappearedonthesubjectinthepastfewyears,riskbudgetingdo
7、es∗ReprintedfromtheFinancialAnalystsJournal(September/October2006):63–75.253CH018.indd2538/28/108:28:06PM254PartII:MeasuringRiskmatter.Onlyafewinstitutionalinvestors,however,havemanagedtomakeitanintegralpartoftheirinvestmentdecision-makingprocess.Partoftheproblem,
8、asKritzmanandChow(2001)rightlypointedout,issemantics.Somepeopleconfuse“riskbudgeting”with“riskattribution,”andothersviewriskbudgetingasafancytermforasse
