Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk

DOI10.1080/14697688.2023.2269992MaRDI QIDQ6127410

Unnamed Author, Koye Somefun, Unnamed Author

Publication date: 12 April 2024

Published in: Quantitative Finance (Search for Journal in Brave)

zbMATH Keywords

elliptical distributionsvolatilityconditional VaRcentring risk measuresdistribution-free risk contributionsfactor risk decomposition

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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