Author(s)

Moulay Slimane Kabiri¹, Cherif El Msiyah², Otheman Nouisser¹

¹National School of Business and Management, Ibn Tofail University, Kenitra Morocco.
²National School of Business and Management, Moulay Ismail University, Meknes, Morocco.

This paper aims to suggest a risk budgeting approach that can enhance the asset allocation process of retirement reserve funds. The approach takes into consideration the importance of incorporating risk into tactical decisions to improve fund performance. The significance of this study lies in the need to adopt a strong approach that enables asset managers to outperform strategic asset allocation while avoiding excessive risk. The article proposes a methodology for measuring and allocating market risk in investment decisions, through the computation and decomposition of Value at Risk and Expected Shortfall. Additionally, it introduces a novel scientific method of using Expected Shortfall and its decomposition into marginal units to guide short- term tactical decision-making.

Risk Budgeting, Strategic Asset Allocation, Tactical Asset Allocation, Value at Risk, Expected Shortfall, Retirement Reserve Funds

Kabiri, M. , Msiyah, C. and Nouisser, O. (2023) Risk Budgeting: A Tactical Asset Allocation Approach for Retirement Reserve Funds in Morocco. Journal of Financial Risk Management, 12, 203-223. doi: 10.4236/jfrm.2023.122011.