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Risk contributions and performance measurement
Company: Technische Universitaet Muenchen
Company Url: Click here to open
Year Of Publication: 2000
Month Of Publication: February
Pages: 26
Download Count: 1880
View Count: 10558
Comment Num: 0
Language: EN
Source: working paper
Who Can Read: Free
Date: 9-11-2002
Publisher: Administrator
Summary
Risk adjusted performance measurement for a portfolio involves calculating the risk contribution of each single asset. We show that there is only one definition for the risk contributions which is suitable for performance measurement, namely as derivative of the underlying risk measure in direction of the considered asset. We also compute the derivatives for some popular risk measures including the quantile-based value at risk (VaR) in a rather general context. As a consequence we obtain a mean-quantile CAPM.
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Tasche, Dirk Sign in to follow this author
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