TY  - JOUR
AB  - Purpose The purpose of this paper is to create a universal (asset-class-independent) portfolio risk index for a global private investor.Design/methodology/approach The authors first discuss existing risk measures and desirable properties of a risk index. Then, they construct a universal (asset-class-independent) portfolio risk measure by modifying Financial Turbulence of Kritzman and Li (2010). Finally, the average portfolio of a representative global private investor is determined, and, by applying the new portfolio risk measure, they derive the Private investor Risk IndeX.Findings The authors show that this index exhibits commonly expected properties of risk indices, such as proper reaction to well-known historical market events, persistence in time and forecasting power for both risk and returns to risk.Practical implications A dynamic asset allocation example illustrates one potential practical application for global private investors.Originality/value As of now, a risk index reflecting the overall risk of a typical multi-asset-class portfolio of global private investors does not seem to exist.
VL  - 18
IS  - 2
SN  - 1526-5943
DO  - 10.1108/JRF-09-2016-0118
UR  - https://doi.org/10.1108/JRF-09-2016-0118
AU  - Stöckl Sebastian
AU  - Hanke Michael
AU  - Angerer Martin
PY  - 2017
Y1  - 2017/01/01
TI  - PRIX – A risk index for global private investors
T2  - The Journal of Risk Finance
PB  - Emerald Publishing Limited
SP  - 214
EP  - 231
Y2  - 2024/04/20
ER  -