PT  - JOURNAL ARTICLE
AU  - Emmanuel Jurczenko
AU  - Jérôme Teiletche
TI  - Expected Shortfall Asset Allocation: <em>A Multi-Dimensional Risk Budgeting Framework</em>
AID  - 10.3905/jai.2019.1.078
DP  - 2019 Jul 02
TA  - The Journal of Alternative Investments
PG  - jai.2019.1.078
4099  - https://pm-research.com/content/early/2019/08/27/jai.2019.1.078.short
4100  - https://pm-research.com/content/early/2019/08/27/jai.2019.1.078.full
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