Estimation and decomposition of downside risk for portfolios with non-normal returns

被引：71

作者：

Boudt, Kris ^{[1
,2
]}

Peterson, Brian ^{[3
]}

Croux, Christophe ^{[1
,2
]}

机构：

[1] Katholieke Univ Leuven, Fac Business & Econ, B-3000 Louvain, Belgium

[2] Lessius Univ Coll, B-3000 Louvain, Belgium

[3] Diamond Management & Technol Consultants, Chicago, IL USA

来源：

JOURNAL OF RISK | 2008年 / 11卷 / 02期

关键词：

D O I：

10.21314/JOR.2008.188

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：79 / 103

页数：25

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