PT - JOURNAL ARTICLE
AU - Chow, George
AU - Kritzman, Mark
AU - Van Royen, Anne-Sophie
TI - Risk Budgets
AID - 10.3905/jpm.2001.319818
DP - 2001 Jul 31
TA - The Journal of Portfolio Management
PG - 109--111
VI - 27
IP - 4
4099 - http://jpm.pm-research.com/content/27/4/109.short
4100 - http://jpm.pm-research.com/content/27/4/109.full
AB - In a previous issue, George Chow and Mark Kritzman discussed the relationship of risk budgeting and asset allocation. A risk budget is defined as the conversion of optimal allocations from meanâ€“variance optimization into value at risk assignments. This comment identifies an error in the formula for the sensitivity of portfolio value at risk with respect to asset weights. The authors demonstrate how to derive VaR sensitivity correctly and extend the analysis to more than three assets.