Based Multi-factor Model Of Risk Budgeting Method And Empirical Research

Risk is the inherency of finance system and finance activity. While risk management is the most important content of the whole business and management activity which finance institutes pursue. In the middle of 1990s, the micro finance risk events which Long-term capital Management Company event is on the behalf of and the macro economic phenomenon which Mexico financial crisis and Asia financial crisis are on the behalf of bring the attention about the financial risk at large, and also bring the deeply thought about the safety running of finance. Risk budgeting attracts the eyes of all just at this time.Risk budgeting as the new risk management method has changed the role of risk allocation from the risk limited preventing role to an aggressive role of risk optimization. It not only requires to allocate asset of portfolio in the aspect of long-term and strategy, but also is hoped that the manager can find the failure point of financial market in time and change the position dynamically to realize the aim of investment return maximization.Risk budgeting as a new risk management system is the subject investigated of this paper. Risk budgeting which has outstanding superiority is a rational management system, so we believe it would be widely used in the finance industry. We hope this paper would have some contribution for the further research of risk budgeting in the theory field of our country.This paper introduced the risk budgeting at first. It elaborated the meaning of risk budgeting, and stated the course of risk budgeting and the traditional asset allocation, and compared with each other.Next, based on the research of the existed risk budgeting references, this paper unified standpoints to explain the risk budgeting technology from the view of system and control.On the other hand, this paper tried to study the risk budgeting on the application of portfolio through introduction of risk budgeting and bring in the multifactor model of security return to risk budgeting process to set up the risk budgeting system which...