| 基于风险预算的资产配置方法 |
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| 引用本文： | 鲍奕奕,刘海龙.基于风险预算的资产配置方法[J].上海管理科学,2007,29(1):7-9. |
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| 作者姓名： | 鲍奕奕 刘海龙 |
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| 作者单位： | 上海交通大学安泰经济与管理学院 |
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| 摘 要： | 本文根据Markowitz投资组合理论进行最优资产配置的思想,用风险贡献率作为风险预算的表示,提出了基于风险预算理论的次优资产配置方法,为投资者在有多种风险约束和偏好的情况下,确定符合其特定风险预算需求的次优资产组合提供了一种思路。
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| 关 键 词： | 风险预算 风险贡献 资产配置 |
Asset Allocation Based on Risk Budgeting |
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| Bao Yiyi,Liu Hailong.Asset Allocation Based on Risk Budgeting[J].Shanghai Managent Science,2007,29(1):7-9. |
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| Authors: | Bao Yiyi Liu Hailong |
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| Institution: | Bao Yiyi Liu Hailong |
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| Abstract: | According to Markowitz Portfolio Theory for Optimal Asset Allocation, this paper present an approach to Sub-Optimal Asset Allocation based on Risk Budgeting by using Risk Contribution as the representation of Risk Budgeting. When investors confined by various risk constraints and preference, this approach can provide Sub-Optimal Portfolio consistent with investors' specific risk budgeting. |
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| Keywords: | Risk Budgeting Risk Contribution Asset Allocation |
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