RT Journal Article
SR Electronic
T1 Risk Budgeting and Portable Alpha
JF The Journal of Investing
FD Institutional Investor Journals
SP 15
OP 22
DO 10.3905/joi.2002.319501
VO 11
IS 2
A1 Robert D. Arnott
YR 2002
UL https://pm-research.com/content/11/2/15.abstract
AB 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 “alpha” or risk-adjusted value-added above benchmark. This is known as “portable alpha” earning alpha in one market and “porting” 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.