The existing methodology of optimization for multi-asset class portfolios has been unable to offer an objective way to reconcile the differences between public and private assets, to analyze the way these asset classes interact, and to determine the appropriate metrics of profitability and risk to gauge an optimal portfolio choice.  These challenges specifically relate to differences in the liquidity profiles of the investments, the objectivity of their valuations, the multi period usage of the proceeds, and the true level of diversification embedded in their return outcomes.

The objective of this work is to overcome all these deficiencies using a single coherent approach.  It is motivated by the axiomatic need for all investors – whether individuals or institutions - to meet liabilities with liquid resources in future periods.  The context here is that liabilities should be interpreted as any monetary outlays – whether actual legal obligations or non-discretionary expenditure - which the investor must fund in a future period. This fundamental objective formulation immediately presents two solution insights.  The first one is that the portfolio metrics with which investors should be concerned should be measured in units of liquid resources available from all assets.  The second one is that the key risk the investor is concerned with is a potential shortfall of future liquid assets with respect to future liabilities over the investment horizon.  In this work, besides funding sufficiency, we also stipulate that the investor’s objective is to maximize the expected total portfolio value at the end of their investment horizon.

Emilian's Bio

Emilian Belev has led the research and development of Northfield's Enterprise Risk Analytics at Northfield for more than two decades.  He is responsible for an integrated framework of multi-asset class analysis including equity, fixed income, currency, interest rate, and credit derivatives, structured products, directly owned real estate, private equity, and infrastructure.  He has introduced innovative approaches to both public and private asset investment analysis and has presented on some of these topics at industry events internationally and published research in peer reviewed journals and book chapters.

Prior to joining Northfield, Emilian was with State Street Global Advisors. Emilian is an actively involved CFA charter holder, a recipient of the Certificate in Advanced Risk and Portfolio Management, and a member of the PRMIA expert advisory group for Market Risk.

Emilian is a winner of the 2013 Professional Risk Management International Association Award “New Frontiers in Risk Management”, and recipient of the 2015 American Real Estate Society Award for Best Practitioner Research.

He enjoys part-time teaching of finance graduate students and industry professionals in finance and risk, in addition to his full time industry involvement.

His research passion is the connection between valuation and risk for private assets.  This led him to become one of the co-founders of cash flow and valuation analytics firm Aspequity, which closely partners with Northfield on multi-asset class assignments.