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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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