Risk measures [18]

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Bullet points include: Divide up total budget for portfolio risk between individual positions (or sub-portfolios) depending on. Their contribution to total portfolio risk. Their potential contribution to value-added (i.e. return / reward). Individual risk components may then be monitored on a continuing basis. To ensure that they adhere to their budgeted allocation. But otherwise some latitude in how sub-components positioned. If losses/returns Gaussian then risk budgeting based on VaR very close to risk budgeting based on portfolio volatility and/or tracking error

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