TY - JOUR T1 - Expected Shortfall Asset Allocation: <em>A Multi-Dimensional Risk Budgeting Framework</em> JF - The Journal of Alternative Investments DO - 10.3905/jai.2019.1.078 SP - jai.2019.1.078 AU - Emmanuel Jurczenko AU - Jérôme Teiletche Y1 - 2019/07/02 UR - https://pm-research.com/content/early/2019/08/27/jai.2019.1.078.abstract N2 - 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 ER -