Browsing by Subject "Risk budgeting"
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Item Optimal portfolio choice : beyond the traditional expected utility maximization paradigm(2020-05-13) Lalkov, Vasko; Zariphopoulou, Thaleia, 1962-; Hasenbein, John J.This thesis focuses on two major portfolio selection approaches: the traditional mean-variance approach and the heuristic approach based on risk budgeting. The main results from mean-variance are reviewed, as well as some novel results, followed by new contributions in the area of calculating expected functionals of the optimal wealth in a log-normal market. The available theory behind the risk budgeting approach is revisited, with the main arguments for and against the approach explained. The equally weighted portfolio, referred to as the risk parity portfolio, is compared against other heuristically derived portfolios and the more traditional mean-variance portfolio.