The authors embed Paris Aligned Benchmark (PAB) requirements in an illustrative multi-asset portfolio containing developed and emerging market equities, sovereign bonds, corporate bonds, listed real estate, and commodities. By being PAB compliant, the immediate reduction and ongoing reductions...

This paper proposes a model for portfolio optimization, in which distributions are characterized and compared on the basis of three statistics: the expected value, the variance and the CVaR at a specified confidence level. The problem is multi-objective and transformed into a single objective...