Evaluating and Improving Risk Measurement in Portfolio Management

As the Chief Investment Officer of a mid-sized wealth management firm, you are tasked with revising the firm's risk measurement framework. The firm has predominantly used standard deviation as the primary measure of risk for its multi-asset portfolio. However, recent discussions with the investment team have raised concerns about the efficacy of standard deviation in capturing the true investment risks, particularly in light of recent market volatility and tail risk events.

In your response, critically evaluate the limitations of standard deviation as a risk measurement tool. Furthermore, propose alternative risk measures that can provide a more robust assessment of risk within the portfolio. For each alternative measure, discuss its advantages and scenarios where it may be more applicable than standard deviation. Finally, outline how these risk measures can be integrated into the firm's existing investment process, ensuring alignment with the firm's overall risk management strategy.