Centred expected shortfall (CES) : a traditional asset manager's view on decomposing downside investment risk
Erik Kroon, Mehdi-Vincent Hacini and Koye Somefun
| Year of publication: |
2024
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| Authors: | Kroon, Erik ; Hacini, Mehdi-Vincent ; Somefun, Koye |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 1, p. 83-104
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| Subject: | Centring risk measures | Conditional VaR | Distribution-free risk contributions | Elliptical distributions | Factor risk decomposition | Volatility | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Volatilität | Risiko | Risk | Risikomanagement | Risk management | Dekompositionsverfahren | Decomposition method | Messung | Measurement | Investitionsrisiko | Investment risk | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2269992 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014551942