@article {Arnott15, author = {Robert D. Arnott}, title = {Risk Budgeting and Portable Alpha}, volume = {11}, number = {2}, pages = {15--22}, year = {2002}, doi = {10.3905/joi.2002.319501}, publisher = {Institutional Investor Journals Umbrella}, abstract = {In the past decade, the institutional investing community has pursued two major advances in the management of risk. First, many institutional investors have come to realize that there need not be a direct link between their asset allocation decisions and their sources of {\textquotedblleft}alpha{\textquotedblright} or risk-adjusted value-added above benchmark. This is known as {\textquotedblleft}portable alpha{\textquotedblright} earning alpha in one market and {\textquotedblleft}porting{\textquotedblright} it into another. Second, risk budgeting is seen as an important tool for the measurement, apportioning, and managing of risk. The two concepts are interrelated: although one can pursue either idea individually, they are best pursued in parallel.}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/11/2/15}, eprint = {https://joi.pm-research.com/content/11/2/15.full.pdf}, journal = {The Journal of Investing} }