A CVaR Scenario-Based Framework for Minimizing Downside Risk in Multi-Asset Class Portfolios

摘要

Multi-asset class (MAC) portfolios—an integral component of the investments of asset managers, asset owners, and hedge funds—consist of a broad set of assets that include equities, fixed income, commodities, foreign exchange, credit, and alternatives such as real estate and private equity. MAC instruments provide a more diversified set of asset allocation opportunities that are based on a wide spectrum of risk and return profiles. For example, adding investment-grade bonds to an equity portfolio can improve its risk profile, whereas adding high-yield corporates will provide greater returns at the cost of elevated risk.