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金融风险预算理论及其在投资管理中的应用 被引量：6

Financial Risk Budgeting Theory and Its Application in Investment Management
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摘要 风险管理是机构投资者投资运作过程中必然要面对的重要内容。本文系统地探讨了作为最新的风险管理方法———风险预算的基本理论及其在投资管理中的应用。 Risk management is an important aspect institutional investors must face in their investment operation process.The paper systematically discussed the most current method of risk management-the basic theory of risk budgeting and its application in investment management.
作者 胡光涛 程兵 张晓军
机构地区 中国科学院数学与系统研究院
出处 《管理评论》 2003年第5期43-47,共5页 Management Review
关键词 金融风险预算理论 投资管理 应用 风险管理方法 机构投资者 投资运作
分类号 F830.9 [经济管理—金融学]
  • 相关文献

参考文献4

  • 1Leslie Rahl. Risk Budgeting: The Next Step of the Risk Management Journey-The Veteran's Perspective. In Risk Budgeting: A New Approach to Investing, ed. Leslie Rahl. Risk Books, 2000.
  • 2Kurt Winkelmann. Risk Budgeting: Managing Active Risk at the Total Fund Level. In Risk Budgeting: A New Approach to Investing, ed. Leslie Rahl. Risk Books, 2000.
  • 3Michelle McCarthy. Risk Budgeting for Pension Funds and Investment Managers Using VAR, In Risk Budgeting: A New Approach to Investing, ed. Leslie Rahl. Risk Books, 2000.
  • 4Neil D. Pearson. Risk Budgeting, Portfolio Problem Solving with Value-at-Risk. John Wiley & Sons, 2002.

同被引文献19

  • 1[1]Harry Markowitz.Portfolio Selection[J].Journal of Finance,1952,7(1):77-91.
  • 2[2]William Sharpe.Budgeting and Monitoring Pension Fund Risk[J].Financial Analysts Journal,September/October,2002,58(5):74-86.
  • 3[3]Leslie Rahl.Risk Budgeting:The Next Step of the Risk Management Journey-The Veteran's Perspective[M].In Risk Budgeting:A New Approach to Investing,ed.Leslie Rahl.Risk Book,2000.
  • 4[4]George Chow,Mark Kritzman.Risk Budgets[J].Journal of Portfolio Management,2001,27(2):56-60.
  • 5[5]Edward Qian.On the Financial Interpretation of Risk Contribution:Risk Budgets Do Add Up[Z].Working Paper Series,2005.
  • 6Grinold, Richard C, Ronald N. Kahn. Active Portfolio Management[M].Chicago:Irwin, 1995:83-106.
  • 7Barton Waring,Duane Whitney,John Pirone,Chales Castille.Optimizing Manager Structure and Budgeting Manager Risk[J].The Journal of Portfolio Management, Spring 2000,63:91-104.
  • 8Chow, George, Mark Kritzman. Risk Budgets [J].The Journal of Portfolio Management, Winter 2001,27:56-64.
  • 9Sharp,William F. Budgeting and Monitoring Pension Fund Risk[J].Financial Analysts Joumnal, September/October 2002, 58(5):74-86.
  • 10Lee Wai, Danel Y Lam. Implementing Optimal Risk budgeting[J]. The Journal of Portfolio Management,Fall 2001,28(1):73-80.

引证文献6

二级引证文献7

管理评论
2003年 第5期

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