RT Journal Article
SR Electronic
T1 Risk Budgets
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 56
OP 60
DO 10.3905/jpm.2001.319792
VO 27
IS 2
A1 George Chow
A1 Mark Kritzman
YR 2001
UL https://pm-research.com/content/27/2/56.abstract
AB While risk budgets are the new fashion among investment managers, the investment community has yet to agree on the precise meaning of the term, or, more important, on how risk budgeting relates to asset allocation. Intuitively, a risk budget conveys the notion that a portfolio's risk is somehow apportioned to various categories, but such disaggregation is impossible for many descriptions of risk. The authors explore the issues associated with risk budgets with a view to arriving at a clear and uniform understanding of risk budgets and their role in the investment process.