We provide an accurate closed-form expression for the expected shortfall of linear portfolios with elliptically distributed risk factors. Our results aim to correct inaccuracies that originate in and are present also in at least thirty other papers referencing it, including the recent survey on...

We provide an accurate closed-form expression for the expected shortfall of linear portfolios with elliptically distributed risk factors. Our results aim to correct inaccuracies that originate in Kamdem (2005) and are present also in at least thirty other papers referencing it, including the...

Using a variety of different definitions of “neutrality,” this study presents significant evidence against the neutrality to market risk of hedge funds in a range of style categories. I generalize standard definitions of “market neutrality,” and propose five different neutrality...