Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk (Q6127410)
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scientific article; zbMATH DE number 7831711
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| default for all languages | No label defined |
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| English | Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk |
scientific article; zbMATH DE number 7831711 |
Statements
Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk (English)
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12 April 2024
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distribution-free risk contributions
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factor risk decomposition
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centring risk measures
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volatility
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conditional VaR
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elliptical distributions
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0.7084280252456665
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0.7076537609100342
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0.7044246196746826
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0.6956133842468262
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0.691538393497467
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