Economic cycles are the key credit portfolio risk driver and they are autocorrelated over time. We then show that it is economically meaningful to define risk for credit portfolios in a multi period setup. Since one period expected shortfall fails to measure risk adequately in a multi period...

This work gives a brief overview of the portfolio selection problem following the mean-risk approach first proposed by Markowitz (1952). We consider various risk measures, i.e. variance, value-at-risk and expected-shortfall and we study the efficient frontiers obtained by solving the portfolio...