Risk management with expected shortfall

DOI10.1007/S11579-021-00298-XMaRDI QIDQ2230765zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

expected shortfallportfolio selectionvalue-at-riskasset pricingrisk measure

Mathematics Subject Classification ID

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

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Cited in

(14)

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

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