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 Sep 30
TA  - The Journal of Alternative Investments
PG  - 7--22
VI  - 22
IP  - 2
4099  - https://pm-research.com/content/22/2/7.short
4100  - https://pm-research.com/content/22/2/7.full
AB  - This article proposes 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. The authors 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: Risk management, performance measurement, portfolio construction, real assets/alternative investments/private equity