RT Journal Article SR Electronic T1 Risk Allocation Under Shortfall Constraints JF The Journal of Portfolio Management FD Institutional Investor Journals SP 46 OP 52 DO 10.3905/jpm.2004.319929 VO 30 IS 2 A1 Jan Bertus Molenkamp YR 2004 UL https://pm-research.com/content/30/2/46.abstract AB Risk budgeting interpreted as efficient portfolio allocation is often based on expected outperformance, alpha or information ratio. Once this crucial input has been estimated, it is frequently treated as fully reliable. One can use historical measures to develop some sense, both theoretical and practical, of the extent of the uncertainty and use a model to characterize the uncertainty of the expected active returns. Examples demonstrate the potential impact of uncertain parameters. The model is said to be widely applicable, easy to implement, and useful in making an optimal risk allocation at different levels of investment strategy.