Portfolio Construction — December 7, 2021

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

This whitepaper was published in The Journal of Portfolio Management.

Multi-asset class (MAC) portfolios – an integral component of investments by asset managers, asset owners, and hedge funds – consist of a broad mixture of asset classes which makes portfolio construction and risk management much more challenging. In this article, we show a two-phase scenario-based CVaR hedging approach to help minimize downside risk in MAC portfolios. Qontigo has been awarded a patent for the innovative use of hierarchical CVaR to minimize downside risk within a GUI.

Author

Kartik Sivaramakrishnan, PhD

Director, Product Solutions