Expected Shortfall Asset Allocation: A Multi-Dimensional Risk-Budgeting Framework
Expected Shortfall Asset Allocation: A Multi-Dimensional Risk-Budgeting Framework
复制标题
预期缺口资产配置：多维风险预算框架
DOI：
10.3905/jai.2019.1.078
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发表时间：
2019
期刊：
影响因子：
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通讯作者：
J. Teiletche
中科院分区：
文献类型：
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作者：
Emmanuel Jurczenko;J. Teiletche
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: Tail risks, portfolio construction, real assets/alternative investments/private equity
