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Options for Choosing Risk Aversion in Active Portfolio Construction - A Practical Approach
Jan 21, 2012
The concept of risk aversion is one of the four main ingredients in modern active portfolio construction theory. Risk aversion represents the amount of return required by an investor for an extra unit of risk and thus the tradeoff between risk and return. In other words, risk aversion states in which portfolio on the efficient frontier the portfolio manager is interested in.
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