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Estimation and Decomposition of Downside Rsk for Portfolios with Non-Normal Returns
Year Of Publication: 2008
Month Of Publication: May
Pages: 47
Download Count: 289
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Comment Num: 0
Language: EN
Source: working paper
Who Can Read: Free
Date: 11-6-2007
Publisher: Administrator
Summary
We 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.
Author(s)
Boudt, Kris Sign in to follow this author
Peterson, Brian Sign in to follow this author
Croux, Christophe Sign in to follow this author
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