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The Journal of Alternative Investments

The Journal of Alternative Investments

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Expected Shortfall Asset Allocation: A Multi-Dimensional Risk-Budgeting Framework

Emmanuel Jurczenko and Jérôme Teiletche
The Journal of Alternative Investments Fall 2019, 22 (2) 7-22; DOI: https://doi.org/10.3905/jai.2019.1.078
Emmanuel Jurczenko
is director of graduate studies and professor of finance at Glion Institute of Higher Education, in Glion, Switzerland
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Jérôme Teiletche
is managing director and head of Cross-Asset Solutions at Unigestion in Geneva, Switzerland
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Abstract

This article proposes a generalized expected shortfall risk-budgeting investing framework, which offers a simple and flexible way to deal with various risks beyond volatility—namely, valuation, asymmetry, tail, and illiquidity risks. The authors empirically illustrate the methodology by proposing a risk-based strategic allocation for a multi-asset portfolio made of traditional and alternative assets with different degrees of liquidity.

TOPICS: Tail risks, portfolio construction, real assets/alternative investments/private equity

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The Journal of Alternative Investments: 22 (2)
The Journal of Alternative Investments
Vol. 22, Issue 2
Fall 2019
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Expected Shortfall Asset Allocation: A Multi-Dimensional Risk-Budgeting Framework
Emmanuel Jurczenko, Jérôme Teiletche
The Journal of Alternative Investments Sep 2019, 22 (2) 7-22; DOI: 10.3905/jai.2019.1.078

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Expected Shortfall Asset Allocation: A Multi-Dimensional Risk-Budgeting Framework
Emmanuel Jurczenko, Jérôme Teiletche
The Journal of Alternative Investments Sep 2019, 22 (2) 7-22; DOI: 10.3905/jai.2019.1.078
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  • Article
    • Abstract
    • EXPECTED SHORTFALL AS A RISK MEASURE
    • EXPANDING THE RISK-MEASUREMENT FRAMEWORK
    • EMPIRICAL ILLUSTRATION
    • CONCLUSION
    • ADDITIONAL READING
    • ACKNOWLEDGMENTS
    • APPENDIX A
    • APPENDIX B
    • ENDNOTES
    • REFERENCES
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