Title: Risk-based allocation for illiquid and alternative investments
Authors: Jerome Teiletche - Unigestion (Switzerland)
Emmanuel Jurczenko - Ecole Hotelière de Lausanne (Switzerland) [presenting]
Abstract: A generalized risk-based investing framework is proposed, 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.