TY - JOUR T1 - Expected Shortfall Asset Allocation: <em>A Multi-Dimensional Risk-Budgeting Framework</em> JF - The Journal of Alternative Investments SP - 7 LP - 22 DO - 10.3905/jai.2019.1.078 VL - 22 IS - 2 AU - Emmanuel Jurczenko AU - Jérôme Teiletche Y1 - 2019/09/30 UR - https://pm-research.com/content/22/2/7.abstract N2 - 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 ER -