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https://doi.org/10.1016/B978-0-12-374448-7.00001-4

has been cited by the following article:

• TITLE: Risk Budgeting: A Tactical Asset Allocation Approach for Retirement Reserve Funds in Morocco

  AUTHORS: Moulay Slimane Kabiri, Cherif El Msiyah, Otheman Nouisser

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

  JOURNAL NAME: Journal of Financial Risk Management, Vol.12 No.2, June 29, 2023

  ABSTRACT: 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.