Centred expected shortfall (CES) : a traditional asset manager's view on decomposing downside investment risk
Year of publication: |
2024
|
---|---|
Authors: | Kroon, Erik ; Hacini, Mehdi-Vincent ; Somefun, Koye |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 1, p. 83-104
|
Subject: | Centring risk measures | Conditional VaR | Distribution-free risk contributions | Elliptical distributions | Factor risk decomposition | Volatility | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Volatilität | Risiko | Risk | Tourismusregion | Tourism destination | Investitionsrisiko | Investment risk | Risikomanagement | Risk management | Dekompositionsverfahren | Decomposition method | Messung | Measurement | Schätzung | Estimation | Statistische Verteilung | Statistical distribution |
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