Risk-Based Allocation for Illiquid and Alternative Investments

IF 0.4 Q4 BUSINESS, FINANCE

Journal of Alternative Investments Pub Date : 2019-09-15 DOI:10.3905/JAI.V22I2.4398

Emmanuel Jurczenko

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.

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非流动性和另类投资的风险配置

在本文中，我们提出了一个广义的基于风险的投资框架，它可以简单灵活地处理波动性之外的各种风险，即估值风险、不对称风险、尾部风险和非流动性风险。我们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。

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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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