Decomposing Downside Investment Risk: Centred Expected Shortfall
Centred Expected Shortfall: The article recommends using Centred Expected Shortfall as a risk measure in asset management for a more accurate portfolio risk breakdown.
Featured in No. 37 on 14 Feb 2024 ·
- Released
- 18 Aug 2023
- First featured
- No. 37 · 14 Feb 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 22
- Identifier
- RePEc:taf:quantf:v:24:y:2023:i:1:p:83-104
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).