Risk management with expected shortfall

DOI10.1007/S11579-021-00298-XzbMATH Open1471.91518OpenAlexW3157765079MaRDI QIDQ2230765FDOQ2230765

Authors: Pengyu Wei 

Publication date: 28 September 2021

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-021-00298-x

Recommendations

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zbMATH Keywords

expected shortfallportfolio selectionvalue-at-riskasset pricingrisk measure

Mathematics Subject Classification ID

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

Cites Work

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• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
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• Risk management with weighted VaR
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Cited In (14)

• Managing risk with expected shortfall
• Risk measures induced by efficient insurance contracts
• Risk measurement by G-expected shortfall
• On the equivalence between value-at-risk- and expected shortfall-based risk measures in non-concave optimization
• Risk management under weighted limited expected loss
• Non-concave portfolio optimization with average value-at-risk
• Expected shortfall and beyond
• Expected shortfall: heuristics and certificates
• The optimal payoff for a Yaari investor
• Multi-period exponentially weighted-expected shortfall
• Relative Growth Rate Optimization Under Behavioral Criterion
• Optimal investment with risk controlled by weighted entropic risk measures
• Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’
• Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk

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