Risk Budgeting
Subtitle: Portfolio Problem Solving with Value-at-Risk (Wiley Finance)
Publisher: Wiley; J. Wiley
Published: January 18, 2002
Language: eng
Number of pages: 256
ISBN-13: 9780471405566
First sentence: finds a portfolio of the standard positions that is approximately) equivalent to the original portfolio in the sense that it has the same sensitivities to changes in the values of the market factors. One then computes the value-at-risk of that equivalent portfolio.