Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2023-12-01 DOI:10.1080/14697688.2023.2269992

Erik Kroon, Mehdi-Vincent Hacini, Koye Somefun

引用次数: 0

Abstract

Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio volatility. This is problematic in the presence of non-elliptical distributions. Some...

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中心预期缺口(CES):传统资产管理公司对下行投资风险分解的观点

风险驱动因素的贡献是理解投资组合风险的关键。通常，这是通过分解投资组合的波动性来完成的。这在存在非椭圆分布时是有问题的。一些……

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.