TY  - UNPD
A1  - Dangl, Thomas
A1  - Randl, Otto
A1  - Zechner, Josef
T1  - Risk control in asset management: motives and concepts
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 546
N2  - n traditional portfolio theory, risk management is limited to the choice of the relative weights of the riskless asset and a diversified basket of risky securities, respectively. Yet in industry, risk management represents a central aspect of asset management, with distinct responsibilities and organizational structures. We identify frictions that lead to increased importance of risk management and describe three major challenges to be met by the risk manager. First, we derive a framework to determine a portfolio position's marginal risk contribution and to decide on optimal portfolio weights of active managers. Second, we survey methods to control downside risk and unwanted risks since investors frequently have non-standard preferences which make them seek protection against excessive losses. Third, we point out that quantitative portfolio management usually requires the selection and parametrization of stylized models of financial markets. We therefore discuss risk management approaches to deal with parameter uncertainty, such as shrinkage procedures or re- sampling procedures, and techniques of dealing with model uncertainty via methods of Bayesian model averaging.
T3  - CFS working paper series - 546 
Y1  - 2016
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/41685
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-416859
UR  - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2854194
N1  - This paper is extended work based on a keynote talk by Josef Zechner at the Risk Management Reloaded Conference held at Technische Universität München in September 2013.
IS  - [March 21, 2014]
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -