Expected Shortfall Asset Allocation: A Multi-Dimensional Risk Budgeting Framework
Emmanuel Jurczenko and Jérôme Teiletche
The Journal of Alternative Investments Fall 2019, jai.2019.1.078; 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
Jérôme Teiletche
is managing director and head of Cross-Asset Solutions at Unigestion in Geneva, Switzerland
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The Journal of Alternative Investments
Vol. 24, Issue 4
Spring 2022
Expected Shortfall Asset Allocation: A Multi-Dimensional Risk Budgeting Framework
Emmanuel Jurczenko, Jérôme Teiletche
The Journal of Alternative Investments Aug 2019, jai.2019.1.078; DOI: 10.3905/jai.2019.1.078