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

DOI10.1080/14697688.2023.2269992MaRDI QIDQ6127410zbMATH OpenFDO

Authors Koye Somefun

Publication date 12 April 2024

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2023.2269992

zbMATH Keywords

centring risk measuresconditional VaRdistribution-free risk contributionselliptical distributionsfactor risk decompositionvolatility

Mathematics Subject Classification ID

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

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