@article {Jurczenkojai.2019.1.078, author = {Emmanuel Jurczenko and J{\'e}r{\^o}me Teiletche}, title = {Expected Shortfall Asset Allocation: A Multi-Dimensional Risk Budgeting Framework}, elocation-id = {jai.2019.1.078}, year = {2019}, doi = {10.3905/jai.2019.1.078}, publisher = {Institutional Investor Journals Umbrella}, abstract = {In this article, we propose 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. 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.TOPICS: Tail risks, portfolio construction, real assets/alternative investments/private equity}, issn = {1520-3255}, URL = {https://jai.pm-research.com/content/early/2019/07/02/jai.2019.1.078}, eprint = {https://jai.pm-research.com/content/early/2019/07/02/jai.2019.1.078.full.pdf}, journal = {The Journal of Alternative Investments} }