Var and Risk Budgeting in Investment Management

punkyash01
Posts: 1
Joined: Wed Aug 23, 2017 11:32 am

Var and Risk Budgeting in Investment Management

Postby punkyash01 » Thu Aug 24, 2017 6:28 am

Respected Sir,
In Chapter Var and Risk Budgeting in Investment Management
The topic covered Risk Budgeting across asset classes the risk budget for managers individually is 8.83 million. I am not able to understand how that figure came to reach to 15.3 million.I will be highly obliged if you look into the matter and explain me thoroughly through a video or theoretically.
And in concept checkers of this chapter only the answer to my 2nd question for weights of manager a and b
The weight of manager a is 45.71% but the weight of manager b is coming to 38%

edupristine
Finance Junkie
Posts: 871
Joined: Wed Apr 09, 2014 6:28 am

Re: Var and Risk Budgeting in Investment Management

Postby edupristine » Tue Oct 10, 2017 9:07 am

Hi,

The figure of 15.30 million have been arrived by taking square of the equation

i.e. √8.8322+ 8.8322+2×8.83×8.83×0.5 =15.296 or 15.30

Please describe your doubt a little more (related to weights of managers), so that we can revert properly.


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