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On the significance of expected shortfall as a coherent risk measure

Article Abstract:

The usage of expected shortfall as a method of measuring coherent risk in portfolio management is discussed.

Author: Kijima, Masaaki, Inui, Koji
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2005
Japan, Venture Analysis, Risk assessment

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Master funds in portfolio analysis with general deviation measures

Article Abstract:

The process of using master funds with general deviation measures for portfolio analysis is presented.

Author: Rockafellar, R. Tyrrell, Uryasev, Stan, Zabarankin, Michael
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
United States, Investment Offices, Mutual Fund Mgmt Companies, Capital funds & cash flow, Derivatives (Financial instruments), Mutual funds, Valuation

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Subjects list: Methods, Portfolio management
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