Article
Risk Budgeting: Managing Active Risk at the Total Fund Level
Kurt D Winkelmann
Special Issues Fall 2000, 2000 (1) 64-72
Kurt D Winkelmann
is a vice president in the investment management division at Goldman Sachs Asset Management in New York. He is also director of the Institutional Client Research and Strategy Group.
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In this issue
Risk Budgeting: Managing Active Risk at the Total Fund Level
Kurt D Winkelmann
Special Issues Sep 2000, 2000 (1) 64-72;
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- Article
- RISK CHARACTERISTICS OF A STRATEGIC BENCHMARK
- SETTING A STRATEGIC BENCHMARK
- SUMMARY RISK CHARACTERISTICS
- REFLECTING IMPLIED VIEWS
- IDENTIFYING PRINCIPAL SOURCES OF RISK
- ACTIVE RISK DECOMPOSITION
- CALCULATING TRACKING ERROR WITHIN AN ASSET CLASS
- FINDING TOTAL FUND ACTIVE RISK
- THE IMPACT OF “STRESSFUL” MARKET ENVIRONMENTS
- IDENTIFYING THE SOURCES OF TOTAL FUND TRACKING ERROR
- DECOMPOSING RISK AT THE POLICY LEVEL
- ATTRIBUTING RISK AT THE INDIVIDUAL MANAGER LEVEL
- CONCLUSION
- ENDNOTES
- REFERENCES
- Info & Metrics
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