Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES...

We introduce an asset-allocation framework based on the active control of the value-at- risk of the portfolio. Within this framework, we compare two paradigms for making the allocation using neural networks. The first one uses the network to make a forecast of asset behavior, in conjunction with...