RT Journal Article SR Electronic T1 Expected Shortfall Asset Allocation: A Multi-Dimensional Risk Budgeting Framework JF The Journal of Alternative Investments FD Institutional Investor Journals SP jai.2019.1.078 DO 10.3905/jai.2019.1.078 A1 Emmanuel Jurczenko A1 Jérôme Teiletche YR 2019 UL https://pm-research.com/content/early/2019/07/02/jai.2019.1.078.abstract AB In this article, we propose 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. We 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