The present contribution deals with a consistent and general foundation of target-based risk-adjusted performance measures. First of all measures of shortfall risk and upside reward are introduced to establish a basis for discussing the corresponding risk-adjusted performance measures...

We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution. This distributional assumption is especially useful if (conditional) asymmetries as well as heavy tails have to be considered and fast random sampling is of importance. To...