We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occurs with certain probability penalized by the dispersion of results that are worse than such an expectation. SDR combines Expected Shortfall (ES) and Shortfall Deviation (SD), which we also...

The objective of this study is to analyze the return pricing dynamics in six Latin American countries based on the ICAPM model of Merton (1973) and Bekaert and Harvey (1995). We analyze Argentina, Brazil, Chile, Colombia, Mexico and Peru market return and a world market proxy return as a measure...

In this paper we propose an expected shortfall (ES) backtesting approach that uses the dispersion of a truncated distribution by the estimated value-at-risk (VaR) upper limit, does not limit the approach to the Gaussian case and allows us to test if each individual VaR violation is significantly...

This article aims to outperform Warren Buffet's portfolio published on July 29, 2022 on The Motley Fool website. We used as a method the formation of a portfolio with 7 assets, similar to the 7 assets representing 80% of Buffet's portfolio, selected of the S&P500 index assets. We used daily data...