{"title":"Risk-Based Allocation for Illiquid and Alternative Investments","authors":"Emmanuel Jurczenko","doi":"10.3905/JAI.V22I2.4398","DOIUrl":null,"url":null,"abstract":"In this article, we propose a generalized risk-based investing framework, which makes it possible to deal in a simple and flexible way 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.","PeriodicalId":45142,"journal":{"name":"Journal of Alternative Investments","volume":" ","pages":""},"PeriodicalIF":0.4000,"publicationDate":"2019-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Alternative Investments","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/JAI.V22I2.4398","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
In this article, we propose a generalized risk-based investing framework, which makes it possible to deal in a simple and flexible way 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.
期刊介绍：
The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices
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