一种基于相对风险的风险预算方法

A Method of Risk Budgeting Based On Relative Risk

风险预算是针对积极投资管理者进行的,所以我们预算和控制的风险主要来自于相对风险而不是绝对风险。本文中的风险预算方法则是在相对风险的基础上,利用边际跟踪误差、相对于基准的调整量、积极因子和积极beta系数等一系列相对概念。通过两个最优化模型,分别在战略资产配置和战术资产配置过程中,将风险配置于投资管理者和管理者资产,并且根据投资者,给定的管理者风险贡献和管理者实际风险贡献之间的误差,进行及时的动态调整,从而完成风险预算的整个过程。

Risk budgeting is in connection with positive portfolio managers, so the risk we budget and control is mainly stemmed from relative risk, but not from absolute risk. As a result, in this paper, the method of risk budgeting is implemented on the basis of relative risk, and through the use of some relative concepts such as marginal tracking error, position based on benchmark, aggressive factor and aggressive beta coefficient, we constitute two optimal models which respectively allocate risk to portfolio managers and managers' assets during the strategic asset allocation and tactical asset allocation. Moreover, according to the margin between risk contributions investor allocate to managers and those practiced by managers, we should proceed to rebalance managers' portfolios dynamically and consequently complete the risk budgeting as a whole.