- About this book
- 基于风险的资产配置策略 (Chinese version of the book)
- Description
- Solutions of the tutorial exercises
- Slides for course instructors
- Computer programs
- Errata
- References
- Editorial reviews

- AuthorThierry Roncalli
- DateJuly 16, 2013
- PublisherChapman & Hall/CRC Financial Mathematics Series
- Format15.6 x 3.2 x 23.5 cm
- Hardcover410 pages
- Number of references309 articles + 12 books
- Go to the Chapman & Hall page of the book.
- Non-exhaustive list of vendors: amazon.com, crc press, barnes and noble, amazon.ca, amazon.uk, amazon.fr, amazon.de, amazon.jp, amazon.it, lehmanns.ch, wheelers.au, wheelers.nz, akademika.no.

- 作者 (Authors)蒂里·龙嘉利 (Thierry Roncalli), 王海艳 (Wang Haiyan) & 郑坂 (Zheng Ban)
- 出版日期 （Date）2016年6月30日 （June 30, 2016）
- 出版社 （Publisher）中国金融出版社 （China Financial Publishing House）
- 页数 (Pages)413 pages
- 引文数量 （Number of references）309 articles + 12 books
- 书店链接 （Non-exhaustive list of vendors）: amazon.cn, bookschina.com, dangdang.com, jd.com, taobao.com.

- Features
- Covers the theoretical foundations and practice of modern portfolio theory
- Provides a complete introduction to the risk budgeting approach
- Describes applications of risk parity to specific asset classes
- Presents technical materials on optimization problems, copula functions, and dynamic asset allocation
- Contains 30 tutorial exercises, with the solutions and other ancillaries available on the book's website

- Summary
Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of long-term investment policies.

Introduction to Risk Parity and Budgeting provides an up-to-date treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy.

The first part of the book gives a theoretical account of portfolio optimization and risk parity. The author discusses modern portfolio theory and offers a comprehensive guide to risk budgeting. Each chapter in the second part presents an application of risk parity to a specific asset class. The text covers risk-based equity indexation (also called smart beta) and shows how to use risk budgeting techniques to manage bond portfolios. It also explores alternative investments, such as commodities and hedge funds, and applies risk parity techniques to multi-asset classes.

The book's first appendix provides technical materials on optimization problems, copula functions, and dynamic asset allocation. The second appendix contains 30 tutorial exercises. Solutions to the exercises, slides for instructors, and Gauss computer programs to reproduce the book's examples, tables, and figures are available on the book's website.

- Table of contents
- Part I. From Portfolio Optimization to Risk Parity
- 1. Modern Portfolio Theory
- 2. Risk Budgeting Approach

- Part II. Applications of the Risk Parity Approach
- 3. Risk-Based Indexation
- 4. Application to Bond Portfolios
- 5. Risk Parity Applied to Alternative Investments
- 6. Portfolio Allocation with Multi-Asset Classes

- Appendix
- A. Technical Appendix
- B. Tutorial Exercises

- Part I. From Portfolio Optimization to Risk Parity
- Download the table of contents

- This e-book contains the solutions of the 30 tutorial exercises which are included in Introduction to Risk Parity and Budgeting (RPB).
- AuthorThierry Roncalli
- DateJuly 31, 2013
- EditorChapman & Hall/CRC Financial Mathematics Series
- Format15.6 x 1.3 x 23.5 cm
- E-book145 pages
- Download the free PDF version of Roncalli's Solution Manual for RPB

- I have made available for academic course instructors a copy of most of the Figures (100) and Tables (121) in Introduction to Risk Parity and Budgeting (RPB).
- For each of the 8 chapters including the appendices, I have created beamer files, with one slide per Figure or Table. The captions and the corresponding page numbers are also included.
- Here are the beamer files for Chapter 1, Chapter 2, Chapter 3, Chapter 4, Chapter 5, Chapter 6 and Appendix.
- Download the PDF files of figures + the tex files of slides.

- This library contains the Gauss programs to reproduce the different examples, tables and figures presented in Introduction to Risk Parity and Budgeting (RPB).
- AuthorThierry Roncalli
- DateJuly 31, 2013
- Number of programs231
- Number of procedures125
- Download the Gauss library RPB (32 bit version).
- Download the Gauss library RPB (64 bit version).
- Download the Gauss library RPB (MAC version).
- Download the manual of the Gauss library RPB (preliminary and incomplete version).

- Download the errata.

- Part I. From Portfolio Optimization to Risk Parity
- 1. Modern Portfolio Theory
- Bruder B., Gaussel N., Richard J-C. and Roncalli T. (2013),
Regularization of Portfolio Allocation,
*SRRN*, www.ssrn.com/abstract=2767358. - DeMiguel V., Garlappi L., Nogales F.J. and Uppal R. (2009),
A Generalized
Approach to Portfolio Optimization: Improving
Performance by Constraining Portfolio Norms,
*Management Science*, 55(5), pp. 798-812. - Jagannathan R. and Ma T. (2003), Risk Reduction in Large Portfolios: Why
Imposing the Wrong Constraints Helps,
*Journal of Finance*, 58(4), pp. 1651-1684. - Meucci A. (2007),
*Risk and Asset Allocation*, Springer. - Scherer B. (2007),
*Portfolio Construction & Risk Budgeting*, Third edition, Risk Books.

- Bruder B., Gaussel N., Richard J-C. and Roncalli T. (2013),
Regularization of Portfolio Allocation,
- 2. Risk Budgeting Approach
- Bruder B. and Roncalli T. (2012),
Managing Risk Exposures using the Risk Budgeting Approach,
*SSRN*, www.ssrn.com/abstract=2009778. - Maillard S., Roncalli T. and Teïletche J. (2010), The Properties of Equally Weighted Risk Contribution Portfolios, Journal of Portfolio Management, 36(4), pp. 60-70.
- Qian E. (2005), Risk Parity Portfolios,
*PanAgora Research Paper*. - Tasche D. (2008), Capital Allocation to Business Units and
Sub-Portfolios: The Euler Principle, in A. Resti (Ed.),
*Pillar II in the New Basel Accord: The Challenge of Economic Capital*, Risk Books, pp. 423-453.

- Bruder B. and Roncalli T. (2012),
Managing Risk Exposures using the Risk Budgeting Approach,

- 1. Modern Portfolio Theory
- Part II. Applications of the Risk Parity Approach
- 3. Risk-Based Indexation
- Arnott R.D., Hsu J.C. and Moore P. (2005), Fundamental Indexation,
*Financial Analysts Journal*, 61(2), pp. 83-99. - Cazalet Z., Grison P. and Roncalli T. (2013), The Smart Beta Indexing Puzzle,
*SSRN*, www.ssrn.com/abstract=2294395. - Choueifaty Y., Froidure T. and Reynier J. (2011), Properties of the Most Diversified Portflio,
*SSRN*, www.ssrn.com/abstract=1895459. - Clarke R.G., de Silva H. and Thorley S. (2012), Risk Parity, Maximum Diversification, and Minimum Variance: An Analytic Perspective, SSRN, ssrn.com/abstract=1977577.
- Demey P., Maillard S. and Roncalli T. (2010), Risk-Based Indexation,
*Lyxor White Paper Series*, 1, www.lyxor.com. - DeMiguel V., Garlappi L. and Uppal R. (2009), Optimal Versus Naive Diversification: How Inefficient is the
1/N Portfolio Strategy?,
*Review of Financial Studies*, 22(5), pp. 1915-1953.

- Arnott R.D., Hsu J.C. and Moore P. (2005), Fundamental Indexation,
- 4. Application to Bond Portfolios
- Bruder B., Hereil P. and Roncalli T. (2011),
Managing Sovereign Credit Risk in Bond Portfolios,
*SSRN*, www.ssrn.com/abstract=1957050. - Roncalli T. and Weisang G. (2012),
Risk Parity Portfolios with Risk Factors,
*SSRN*, www.ssrn.com/abstract=2155159.

- Bruder B., Hereil P. and Roncalli T. (2011),
Managing Sovereign Credit Risk in Bond Portfolios,
- 5. Risk Parity Applied to Alternative Investments
- Meucci A. (2009), Managing Diversification,
*Risk*, 22(5), pp. 74-79. - Willenbrock S. (2011), Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle,
*Financial Analysts Journal*, 67(4), pp. 42-49.

- Meucci A. (2009), Managing Diversification,
- 6. Portfolio Allocation with Multi-Asset Classes
- Dalio R. (2004), Engineering Targeted Returns and Risks,
*Bridgewater Associates Working Paper*. - Frazzini A. and Pedersen L.H. (2010), Betting Against Beta,
*NBER Working Paper*, 16601. - Qian E. (2011), Risk Parity and Diversification,
*Journal of Investing*, 20(1), pp. 119-127. - Roncalli T. (2013), Introducing Expected Returns into Risk Parity Portfolios:
A New Framework for Tactical and Strategic Asset Allocation,
*SSRN*, www.ssrn.com/abstract=2321309.

- Dalio R. (2004), Engineering Targeted Returns and Risks,

- 3. Risk-Based Indexation
- Appendix
- A. Technical Appendix
- Bajeux-Besnainou I., Jordan J.V. and Portait R. (2003), Dynamic Asset Allocation for Stocks, Bonds, and Cash,
*Journal of Business*, 76(2), pp. 263-287. - Bruder B., Culerier L. and Roncalli T. (2012), How to
Design Target-Date Funds,
*Lyxor White Paper Series*, 9, www.lyxor.com. - Bruder B., Jamet G. and Lasserre G. (2010), Beyond
Liability Driven Investment: New Perspectives on Defined Benefit Pension Fund Management,
*Lyxor White Paper Series*, 2, www.lyxor.com. - Griveau-Billion T., Richard J-C. and Roncalli T. (2013), A Fast Algorithm for Computing
High-dimensional Risk Parity Portfolios,
*SSRN*, www.ssrn.com/abstract=2325255. - Merton R.C. (1969), Lifetime Portfolio
Selection under Uncertainty: The Continuous-Time Case,
*Review of Economics and Statistics*51(3), pp. 247-257.

- Bajeux-Besnainou I., Jordan J.V. and Portait R. (2003), Dynamic Asset Allocation for Stocks, Bonds, and Cash,
- B. Tutorial Exercises

- A. Technical Appendix

"Thierry Roncalli's book situates the risk parity approach, which has become very popular with investors and managers,
in a broader conceptual and technical context, which is that of risk budgeting. This publication is a must for
investors who wish to gain serious insight into risk allocation issues."

—Noël Amenc, Professor of Finance, EDHEC Business School; Director, EDHEC-Risk Institute; and CEO, ERI Scientific Beta

"A mathematical tour de force of the paradigm shift in portfolio orchestration where the risk section plays bold notes to temper
the return section, in a melodious harmony reflecting new trends in investment practice. A most current and comprehensive
quantitative exposition of the evolution of modern portfolio theory, from mean-variance to risk parity methods,
this book fills an important need for academics and practitioners who are looking for an up-to-date technical exposition
of the art and science of portfolio construction."

—Sanjiv Ranjan Das, William and Janice Terry Professor of Finance, Santa Clara University

"Professor Roncalli's masterful treatment on the subjects of risk parity investing and risk
budgeting represents a significant contribution to the rapidly emerging literature on risk parity.
This text provides an academically rigorous yet intuitive and understandable introduction to important
topics like risk-based equity and fixed-income portfolio construction as well as asset allocation.
The book surveys and pulls from seminar papers as well as frontier research in the risk parity field and provides
a balanced and application-oriented discussion on the important nuances. This book is highly recommended for
finance industry practitioners as well as students of financial engineering."

—Jason Hsu, UCLA Anderson School of Management

"Roncalli has written an excellent and
balanced exposition of the risk parity approach to investing. This is very valuable reading for quant
analysts and for technically oriented porfolio managers and asset allocators interested in this hot topic.
The book covers everything from basic mechanics to advanced techniques and from the broad context of risk
parity as one way to solve the general portfolio construction problem to detailed practical investment
examples within and across asset classes."

—Antti Ilmanen, Managing Director, AQR Capital Management

"Thierry Roncalli has pioneered risk parity as a practitioner. His exhaustive and rigorous book is now *the*
reference on the subject."

—Attilio Meucci, SYMMYS

"The traditional Markowitz portfolio allocation can be improved by using techniques where a specific
amount of risk is allocated to an asset class yielding so-called risk-parity portfolios. Although it
can be puzzling how this is done, this book takes the lead by providing not only the theory but also by showing
in many examples how it can actually be done. It should be on the desk of anyone interested in modern portfolio allocation.
The text should appeal not only to senior practitioners and academics but also to students since many
no-nonsense problems are proposed whose solutions may be found on the author’s website."

—Michael Rockinger, Professor, HEC Lausanne and Swiss Finance Institute

"Thierry Roncalli's book provides a rigorous but highly accessible treatment of all theoretical
and practical aspects of risk parity investing. The author has been for many years on the forefront of
research on building better diversified portfolios. His book will quickly prove indispensable for all serious investors."

—Bernhard Scherer, Chief Investment Officer, FTC Capital GmbH

"This exciting new book provides detailed and rigorous coverage of portfolio risk management
beyond the Markowitz approach. Professor Thierry Roncalli studies the importance of risk parity and
budgeting in portfolio design and offers a masterly account of this underdeveloped area of practical research.
Definitely, the book is a must-read for graduate students in finance and for any investment professional."

—Professor Dr. Diethelm Würtz, Swiss Federal Institute of Technology, Zurich

Back to the main page.