预期不足资产配置:一个多维风险预算框架

IF 0.4 Q4 BUSINESS, FINANCE Journal of Alternative Investments Pub Date : 2019-09-30 DOI:10.3905/jai.2019.1.078

Emmanuel Jurczenko, J. Teiletche

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引用次数: 9

摘要

本文提出了一个广义的预期不足风险预算投资框架，该框架提供了一种简单而灵活的方法来处理波动性以外的各种风险，即估值风险、不对称风险、尾部风险和非流动性风险。作者通过对由不同流动性程度的传统和另类资产组成的多资产组合提出基于风险的战略配置，实证地说明了这一方法。主题:尾部风险、投资组合构建、实物资产/另类投资/私募股权

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Expected Shortfall Asset Allocation: A Multi-Dimensional Risk-Budgeting Framework

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

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来源期刊

Journal of Alternative Investments BUSINESS, FINANCE-

CiteScore

1.50

自引率

14.30%

发文量

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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