The optimal portfolio in respect to Expected Shortfall: a comparative study
Value at Risk plays a crucial role in the risk management. However, this risk measure has some drawbacks. The alternative risk measure is Expected Shortfall, which is rarely used, but exhibits desirable properties. In the paper, the estimation of both risk measures has been conducted, for pairs of...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AGH UNIVERSITY PRESS
2014-03-01
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| Series: | Managerial Economics |
| Subjects: | |
| Online Access: | https://journals.agh.edu.pl/manage/article/view/992 |