Estimation and decomposition of downside risk for portfolios with non-normal returns
AbstractWe propose a new estimator for Expected Shortfall that uses asymptotic expansions to account for the asymmetry and heavy tails in financial returns. We provide all the necessary formulas for decomposing estimators of Value at Risk and Expected Shortfall based on asymptotic expansions and show that this new methodology is very useful for analyzing and predicting the risk properties of portfolios of alternative investments.
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Bibliographic InfoPaper provided by Katholieke Universiteit Leuven in its series Open Access publications from Katholieke Universiteit Leuven with number urn:hdl:123456789/200168.
Date of creation: 2008
Date of revision:
Publication status: Published in The Journal of Risk (2008) v.11, p.79-103
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Web page: http://www.kuleuven.be
Alternative investments; Component expected shortfall; Cornish-Fisher expansion; Downside risk; Expected shortfall; Portfolio; Risk contribution; Value at risk;
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