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

Emmanuel Jurczenko; Jérôme Teiletche

doi:10.3905/jai.2019.1.078

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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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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