RT Journal Article
SR Electronic
T1 Risk Budgets
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 109
OP 111
DO 10.3905/jpm.2001.319818
VO 27
IS 4
A1 George Chow
A1 Mark Kritzman
A1 Anne-Sophie Van Royen
YR 2001
UL https://pm-research.com/content/27/4/109.abstract
AB In a previous issue, George Chow and Mark Kritzman discussed the relationship of risk budgeting and asset allocation. A risk budget is defined as the conversion of optimal allocations from mean–variance optimization into value at risk assignments. This comment identifies an error in the formula for the sensitivity of portfolio value at risk with respect to asset weights. The authors demonstrate how to derive VaR sensitivity correctly and extend the analysis to more than three assets.