The study concentrates on the comparison of hedge fund efficiency measured by maximum drawdown measures with … traditional risk/return ratios. The examined period is from 1990 to 2011 and the data were provided by Hedge Fund Research. It is … were interesting and showed that the results of complex efficiency measures aren’t much different from traditional measures …

The Expected Shortfall (ES) is one of the most important regulatory risk measures in finance, insurance, and statistics …, which has recently been characterized via sets of axioms from perspectives of portfolio risk management and statistics … the special role of ES in insurance and actuarial science. To fill this gap, we study characterization of risk measures …