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Measuring Risk In Israeli Mutual Funds: Conditional Value-At-Risk Vs. Aumann-Serrano Riskiness Index

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  • Haim Shalit

    (BGU)

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  • Haim Shalit, 2014. "Measuring Risk In Israeli Mutual Funds: Conditional Value-At-Risk Vs. Aumann-Serrano Riskiness Index," Working Papers 1409, Ben-Gurion University of the Negev, Department of Economics.
    • Handle: RePEc:bgu:wpaper:1409
    as

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    File URL: http://in.bgu.ac.il/en/humsos/Econ/Workingpapers/1409.pdf
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    References listed on IDEAS

    as
    1. Robert J. Aumann & Roberto Serrano, 2008. "An Economic Index of Riskiness," Journal of Political Economy, University of Chicago Press, vol. 116(5), pages 810-836, October.
    2. Shalit, Haim, 2012. "Using OLS to test for normality," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 2050-2058.
    3. Haim Shalit, 2010. "Portfolio Risk Management Using The Lorenz Curve," Working Papers 1011, Ben-Gurion University of the Negev, Department of Economics.
    4. Fisher, Lawrence & Lorie, James H, 1970. "Some Studies of Variability of Returns on Investments in Common Stocks," The Journal of Business, University of Chicago Press, vol. 43(2), pages 99-134, April.
    5. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    6. Muliere, Pietro & Scarsini, Marco, 1989. "A note on stochastic dominance and inequality measures," Journal of Economic Theory, Elsevier, vol. 49(2), pages 314-323, December.
    Full references (including those not matched with items on IDEAS)

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    Keywords

    Mutual funds; risk ranking; CVaR; riskiness; Lorenz curve.;
    All these keywords.

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